Abstract
Motivated by the increasing importance of sustainability in investing, Steuer and Utz (2023) propose a new approach for integrating environmental, social and governance (ESG) scores into the portfolio selection process. These authors claim that their multi-objective portfolio optimization problem always provides mean-variance-ESG-efficient solutions because it belongs to the class of ϵ-constraint problems. Contending that this classification is problematic, we show that the developed approach cannot guarantee efficient portfolios.
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