Abstract
Global environmental problems and climate changes in recent decades have brought to the fore the questions related to the sustainable development of economies and the impact of these processes on the long-term returns of widely diversified portfolios. Consideration of all risk factors and potential opportunities is key to the investments of pension funds, which are called to act “in the best interest” of beneficiaries, providing secure and stable income. To unlock their potential to finance the economy’s low-carbon transition, pension funds must be convinced that the financial characteristics of green assets match the profile they are looking for and have a good understanding of their benefits and risks. The current paper aims to research the effect of including green assets in the portfolio of voluntary private pension funds in Bulgaria, applying the UPM/LPM model for portfolio optimization.
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