MULTICRITERIA ANALYSIS IN ESG-ORIENTED PORTFOLIO OPTIMIZATION

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

🔬研究者:This review provides a structured taxonomy of MCDA methods for ESG portfolio optimization, useful for researchers developing multi-criteria decision frameworks.

🏢実務担当者:Asset managers can leverage the reviewed MCDA methods (e.g., TOPSIS, AHP) to build transparent ESG-integrated portfolios that align with client sustainability preferences.

The article discusses multicriteria analysis as a methodological tool for integrating financial and non-financial ESG criteria in portfolio optimization tasks. The relevance of the study is due to the fact that the classical model of portfolio selection based on the ratio of return and risk no longer fully reflects the current requirements of sustainable investment. As the importance of environmental, social, and managerial factors increases, investment decisions become multidimensional, requiring the use of methods that can combine diverse indicators into a single analytical system. The purpose of the article is to systematize scientific approaches to the use of multi-criteria analysis in ESG-oriented portfolio optimization. The research methodology is based on a review and comparative analysis of scientific literature on portfolio theory, MCDA/MCDM methods, socially responsible investment, and ESG integration. Special attention is given to the functions of multi-criteria analysis, including the normalization of financial and ESG indicators, the determination of criterion weights, the ranking of assets, the formation of integrated assessments, and the search for a balance between profitability, risk, and sustainability. The review results show that multi-criteria analysis expands the traditional portfolio optimization model and allows taking into account not only financial efficiency, but also long-term non-financial risks of companies. It has been established that MCA can be applied at various stages of the investment process: in the preliminary ESG screening, building ESG scoring, ranking assets and inclusion of ESG criteria in optimization models. It is shown that the TOPSIS, PROMETHEE, VIKOR, AHP, Entropy, CRITIC methods and their hybrid combinations provide a more transparent and explainable portfolio selection procedure. It is concluded that multi-criteria analysis is not an alternative to classical portfolio theory, but rather a methodological extension of it in the context of sustainable finance. Its application allows for the formation of more balanced investment decisions that combine financial rationality, ESG priorities, and investor preferences.

• semanticscholar https://journals.nauka-nanrk.kz/bulletin-science/article/download/8640/5644first seen 2026-07-19 05:57:18