Empirical Analysis of ESG-Integrated Markowitz Portfolio Construction and Rotation Strategies

This paper explores the issue of incorporating environmental, social and governance (ESG) factors into modern portfolio theory (MPT) and discusses the calculation and significance of the ESG efficiency frontier. Using the A-share data of China's CSI 300 Index and the ESG rating change data of the corresponding targets from 2009 to 2023, this paper constructs a quarterly rotation investment strategy based on ESG ratings and optimizes it by changing the ESG preference parameters, risk aversion coefficient and training interval span. The final results show that the portfolio can be effectively optimized after considering the ESG efficient frontier, the long-term performance of the strategy is improved, and different optimal ESG preferences are found at different risk levels.