{"id":"https://openalex.org/W7225272149","doi":"https://doi.org/10.1017/s1748499526100426","title":"A feasibility study of climate portfolio construction strategies","display_name":"A feasibility study of climate portfolio construction strategies","publication_year":2026,"publication_date":"2026-11-04","ids":{"openalex":"https://openalex.org/W7225272149","doi":"https://doi.org/10.1017/s1748499526100426"},"language":"en","primary_location":{"id":"doi:10.1017/s1748499526100426","doi":"https://doi.org/10.1017/s1748499526100426","is_oa":true,"landing_page_url":"https://doi.org/10.1017/s1748499526100426","pdf_url":null,"source":{"id":"https://openalex.org/S2764823410","display_name":"Annals of Actuarial Science","issn_l":"1748-4995","issn":["1748-4995","1748-5002"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","erih-plus","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Actuarial Science","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.1017/s1748499526100426","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5117462973","display_name":"Rhoda Dadzie-Dennis","orcid":"https://orcid.org/0009-0008-3869-6759","observed_orcids":["https://orcid.org/0009-0008-3869-6759"]},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Rhoda Dadzie-Dennis","raw_affiliation_strings":["University of Waterloo"],"raw_orcid":"https://orcid.org/0009-0008-3869-6759","affiliations":[{"raw_affiliation_string":"University of Waterloo","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5053070980","display_name":"Tony S. Wirjanto","orcid":"https://orcid.org/0000-0003-1324-9131","observed_orcids":["https://orcid.org/0000-0003-1324-9131"]},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Tony S. Wirjanto","raw_affiliation_strings":["University of Waterloo"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Waterloo","institution_ids":["https://openalex.org/I151746483"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5117462973"],"corresponding_institution_ids":["https://openalex.org/I151746483"],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":{"value":3550,"currency":"USD","value_usd":3550},"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.88492262,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"33"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T13146","display_name":"Sustainable Finance and Green Bonds","score":0.9926999807357788,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T13146","display_name":"Sustainable Finance and Green Bonds","score":0.9926999807357788,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10115","display_name":"Corporate Social Responsibility Reporting","score":0.0035000001080334187,"subfield":{"id":"https://openalex.org/subfields/1408","display_name":"Strategy and Management"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.0020000000949949026,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7620999813079834},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6664999723434448},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.6331999897956848},{"id":"https://openalex.org/C66204764","wikidata":"https://www.wikidata.org/wiki/Q219416","display_name":"Sustainability","level":2,"score":0.5149000287055969},{"id":"https://openalex.org/C73938075","wikidata":"https://www.wikidata.org/wiki/Q2858767","display_name":"Application portfolio management","level":4,"score":0.5066999793052673},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.48240000009536743},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.47119998931884766},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.4523000121116638},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.44119998812675476},{"id":"https://openalex.org/C2777303722","wikidata":"https://www.wikidata.org/wiki/Q1371297","display_name":"Socially responsible investing","level":3,"score":0.4117000102996826},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.4043999910354614},{"id":"https://openalex.org/C39389867","wikidata":"https://www.wikidata.org/wiki/Q380767","display_name":"Corporate governance","level":2,"score":0.37290000915527344},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.36970001459121704},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.3379000127315521},{"id":"https://openalex.org/C134560507","wikidata":"https://www.wikidata.org/wiki/Q753291","display_name":"Environmental economics","level":1,"score":0.3357999920845032},{"id":"https://openalex.org/C67051015","wikidata":"https://www.wikidata.org/wiki/Q7233558","display_name":"Post-modern portfolio theory","level":5,"score":0.3206999897956848},{"id":"https://openalex.org/C2910001868","wikidata":"https://www.wikidata.org/wiki/Q458","display_name":"European union","level":2,"score":0.3192000091075897},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.31619998812675476},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3095000088214874},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.2976999878883362},{"id":"https://openalex.org/C552854447","wikidata":"https://www.wikidata.org/wiki/Q131201","display_name":"Sustainable development","level":2,"score":0.2799000144004822},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.27900001406669617},{"id":"https://openalex.org/C26584437","wikidata":"https://www.wikidata.org/wiki/Q6060874","display_name":"Investment performance","level":4,"score":0.27730000019073486},{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.2614000141620636}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1017/s1748499526100426","doi":"https://doi.org/10.1017/s1748499526100426","is_oa":true,"landing_page_url":"https://doi.org/10.1017/s1748499526100426","pdf_url":null,"source":{"id":"https://openalex.org/S2764823410","display_name":"Annals of Actuarial Science","issn_l":"1748-4995","issn":["1748-4995","1748-5002"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","erih-plus","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Actuarial Science","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1017/s1748499526100426","doi":"https://doi.org/10.1017/s1748499526100426","is_oa":true,"landing_page_url":"https://doi.org/10.1017/s1748499526100426","pdf_url":null,"source":{"id":"https://openalex.org/S2764823410","display_name":"Annals of Actuarial Science","issn_l":"1748-4995","issn":["1748-4995","1748-5002"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","erih-plus","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Actuarial Science","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W1988008345","https://openalex.org/W1999409144","https://openalex.org/W2030674961","https://openalex.org/W2104623846","https://openalex.org/W2111951371","https://openalex.org/W2112261373","https://openalex.org/W2138490239","https://openalex.org/W2163969674","https://openalex.org/W2787894218","https://openalex.org/W2807134370","https://openalex.org/W2890448903","https://openalex.org/W2906323621","https://openalex.org/W2911964244","https://openalex.org/W2996233037","https://openalex.org/W3165607301","https://openalex.org/W3191986635","https://openalex.org/W4223975016","https://openalex.org/W4306249244","https://openalex.org/W4327966544","https://openalex.org/W4388758470","https://openalex.org/W4400992862","https://openalex.org/W4401520586"],"related_works":[],"abstract_inverted_index":{"Abstract":[0],"Investments":[1],"in":[2],"assets":[3],"related":[4],"to":[5,63,68,160],"positive":[6],"environmental,":[7],"social,":[8],"and":[9,19,50,123,141,163,188,214],"governance":[10],"(ESG)":[11],"have":[12],"grown,":[13],"attracting":[14],"interest":[15],"from":[16],"both":[17],"academics":[18],"investment":[20],"fund":[21],"practitioners.":[22],"In":[23],"this":[24,131],"work,":[25],"we":[26,93,133],"explore":[27],"various":[28,90],"methods":[29],"for":[30,99],"integrating":[31],"ESG":[32,54,73,139,161,176],"factors":[33,55,140],"into":[34,56],"portfolio":[35,57,76,85,136,149,158,181,185],"construction,":[36],"assessing":[37],"their":[38],"feasibility.":[39],"We":[40,59],"address":[41],"three":[42],"key":[43],"questions.":[44],"First,":[45],"what":[46],"are":[47],"potential":[48],"benefits":[49],"challenges":[51],"of":[52,72,138,144,175],"incorporating":[53],"strategies?":[58],"compare":[60],"our":[61],"results":[62],"an":[64,156],"equally":[65],"weighted":[66],"benchmark":[67],"assess":[69],"the":[70,95,135,142,173,180,184,189,200,205],"impact":[71,143],"integration":[74,137,162,177],"on":[75,116,147,179],"performance.":[77,150],"Second,":[78],"how":[79],"does":[80,104],"performance":[81,105,207],"vary":[82],"across":[83,107,197,217],"different":[84],"optimization":[86,91,182],"techniques?":[87],"By":[88],"exploring":[89],"approaches,":[92],"identify":[94],"most":[96],"effective":[97],"strategies":[98],"constructing":[100],"climate-resilient":[101],"portfolios.":[102],"Finally,":[103],"differ":[106],"countries":[108],"and/or":[109],"regions?":[110],"Our":[111,169],"study":[112,152],"focuses":[113],"its":[114],"analysis":[115],"North":[117],"American":[118],"(S&P":[119],"500":[120],"Top":[121],"50)":[122,128],"European":[124],"Union":[125],"(EU":[126],"STOXX":[127],"markets.":[129],"Through":[130],"investigation,":[132],"examine":[134],"country/region-specific":[145],"characteristics":[146],"climate":[148],"This":[151],"contributes":[153],"by":[154,208],"introducing":[155],"ensemble":[157,202],"methodology":[159],"providing":[164],"a":[165],"comparative":[166],"cross-regional":[167],"analysis.":[168],"findings":[170],"show":[171],"that":[172],"effectiveness":[174],"depend":[178],"framework,":[183],"sustainability":[186,210],"choice,":[187],"underlying":[190],"market.":[191],"Although":[192],"no":[193],"single":[194],"strategy":[195],"dominates":[196],"all":[198],"settings,":[199],"proposed":[201],"approach":[203],"provides":[204],"best":[206],"balancing":[209],"objectives":[211],"with":[212],"diversification":[213],"risk-adjusted":[215],"returns":[216],"regions.":[218]},"counts_by_year":[],"updated_date":"2026-11-05T12:25:35.769452","created_date":"2026-11-05T00:00:00"}