Managing the Diversification of ESG Portfolios with Lagrange Multipliers

The increased focus on ESG from asset owners, investors and regulators requires innovation in data sourcing and portfolio construction techniques. Simply excluding assets with low ESG scores or applying hard constraints can lead to undesirably concentrated portfolios, missing alpha opportunities, and mandate-breaching tracking error. 

ESG data can help produce alpha opportunities and protect from market downturns, data show. Typical issues of an “Exclusion Approach” can be easily overcome by the addition of ESG tilts in the optimization routine. This allows the construction of portfolios that are more diversified, have higher ESG scores and result in a better performance in the long run.

Join this webinar to find out how to make use of Lagrange multipliers to improve the diversification and the ESG profile of financial portfolios.

During this Webinar we will see how to use MATLAB to easily build, backtest and run portfolio simulations on ESG portfolio models using actual market and ESG scoring data directly retrieved from Refinitiv’s cloud database QA Direct:
Work with cloud-hosted database QA Direct
Use MATLAB’s Live Editor to increase interactivity and workflow automation
Build several portfolios with diversification and ESG tilts 
Backtest and compare ESG portfolios

Webinar Info

  • Time

  • Duration

    60 minutes


Valerio Sperandeo - Senior Application Engineer, Financial Modeling, MathWorks

As a member of the Application Engineering team at MathWorks, Valerio Sperandeo assists customers in the development and deployment of financial applications. He holds a M.Sc. in Quantitative Finance from the University of Perugia with focus on risk and asset management.
Before joining MathWorks, he worked as Analyst at the investment department of a global asset management company. There, he contributed to the development of several tools for risk overlay, portfolio optimization and strategic asset allocation purposes.

Barnabas Acs - Global Business Development Director – Sustainable Finance, Refinitiv

Financial data expert, researcher and firm believer in sustainability being a necessity and the key to success in the 21st century. Concerned about climate change. Constantly exploring how the combination of technology, finance and data can help to foster a circular economy. Barnabas holds a Bachelors in Marketing & Market Research, a Masters in Financial Accounting and a Ph.D. in Statistics and Econometrics.



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