Supplementary Material to "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing"

This dataset contains a single file consisting of the supplementary material for the article entitled "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing". It contains nine sections. The article describes efficient frontier computations using Refinitive ESG-scores for the date 12/30/2019. Sections SM.1 compares with efficient frontier computations for the date 03/20/2020. Section SM.2 provides data tables referenced in the article. Sections SM.3 through SM.9 provides comparison results to those in the article using Robeco-SAM ESG scores.