This repository contains research code and data for a quantitative framework to detect potential corporate greenwashing using ESG deficiency scores and portfolio optimization.
The method tests whether a firm's reported ESG score may be overly generous by perturbing its ESG deficiency score and measuring the effect on optimized portfolio returns.
If increasing a firm's ESG deficiency leads to consistently improved portfolio performance, the result may indicate that the original ESG rating understated the firm's true ESG-related risk.
- ESG deficiency score construction
- Mean-variance portfolio optimization
- Quadratic programming
- Firm-level ESG perturbation testing
- Out-of-sample portfolio return comparison
greenwashing-detection.ipynb— main research notebook.Greenwashing ESG Scores.xlsx— ESG score data.Greenwashing Stock Prices.xlsx— stock price data.
Greenwashing, ESG investing, sustainable finance, portfolio optimization, mathematical finance, and responsible investing.