ESG integration in portfolio optimization

This paper investigates the performance of investment portfolios in the Brazilian financial market from 2016 to 2024, constructed using a factor-based approach. The study examines the impact of incorporating ESG (Environmental, Social, and Governance) factors into investment strategies. By evaluating the excess returns of portfolios adjusted for risk, and using the Sharpe index for comparisons, the research concludes that the inclusion of ESG factors generally improves the risk-adjusted performance of simple factor-based portfolios.