Existing approaches have considered characteristics of Environmental, Social and Corporate Governance (ESG) focused investments from a return-oriented perspective without paying due consideration to investors’ utility and how ESG features impact utility. We contribute to this literature by providing a model that captures the implications for investment if ESG is valued by the investor as well as wealth. We first present the necessary theory and discuss the rather challenging problem of calibration of the various risk and preference parameters. Using Thomson Reuters ESG data from 2002 to 2018, we provide further empirical evidence that investors who value ESG factors have improved utility which does not come at the cost of return performance.

现有方法从回报导向的角度考虑了以环境、社会和公司治理 (ESG) 为重点的投资的特征，而没有适当考虑投资者的效用以及 ESG 特征如何影响效用。如果 ESG 被投资者和财富所重视，我们通过提供一个模型来捕捉对投资的影响，从而为该文献做出贡献。我们首先提出必要的理论并讨论校准各种风险和偏好参数的相当具有挑战性的问题。使用汤森路透 2002 年至 2018 年的 ESG 数据，我们提供了进一步的经验证据，表明重视 ESG 因素的投资者提高了效用，而不是以回报绩效为代价。