近年來，ESG投資已成為一股趨勢。本文利用投資組合優化模型實施ESG整合策略。針對東亞國家進行了實證研究，探討不同程度ESG約束對投資者風險調整後回報（以夏普比率衡量）的影響。研究評估了各種投資組合的外樣本表現，比較了施加不同程度ESG約束的投資組合、無ESG約束的投資組合和等權重投資組合之間的表現差異。結果顯示，施加ESG約束的投資組合，特別是那些具有較高ESG水平的投資組合，在投資期間表現出較低的波動性和較小的回撤。在大多數地區，具有較低ESG水平的投資組合往往在投資期間有較高的年化回報和更大的波動性。與無ESG約束的投資組合相比，ESG約束的投資組合表現出更高的風險調整後回報。本文進一步探討了2020年金融危機期間ESG投資的表現，發現施加ESG約束的投資組合，特別是那些具有較高ESG水平的投資組合，在回報和波動性方面表現出較強的韌性。然而，與無ESG約束的投資組合相比，並未觀察到一致的結果。

ESG investing has emerged as a trend in recent years. This paper utilizes portfolio optimization models to develop ESG-integrated strategies. The paper conducted empirical research in East Asian countries, examining the impact of different levels of ESG constraints on investors' risk-adjusted returns, measured by the Sharpe ratio. The research evaluates the out-of-sample performance of various portfolios, comparing the performance differences between portfolios that impose different levels of ESG constraints, those without ESG constraints, and equal-weighted portfolios. Results indicate that portfolios that impose ESG constraints, particularly those with higher ESG levels, exhibit lower volatility and smaller drawdowns during the investment period. Across most regions, portfolios with lower ESG levels tend to have higher annualized returns and greater volatility throughout the investment period. ESG-constrained portfolios demonstrate higher risk-adjusted returns compared to portfolios without ESG constraints. The paper further explores the performance of ESG investing during the 2020 financial crisis, finding that portfolios that impose ESG constraints, particularly those with higher ESG levels, demonstrate greater resilience in terms of returns and lower volatility. However, consistent results are not observed when compared to portfolios without ESG constraints.

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