ESG-constrained Portfolio Optimisation

Mixed-integer mean–variance model that adds ESG and minimum-position constraints, applied to SMI equities with bi-weekly rebalancing. The optimised portfolio reduced volatility versus the SMI and showed a better Sortino ratio over the analysed window.

Highlights

• Model: Mixed-integer quadratic program with ESG and minimum weight constraints.
• Data: Swiss Market Index constituents; periodic rebalancing; ESG threshold sweep.
• Outcome: Lower drawdown/volatility vs. SMI; improved risk-adjusted performance.

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