{
  "abstract": "This study investigates the value of incorporating diversification as an explicit objective in sustainable portfolio optimization, alongside expected return, risk measured by Value-at-Risk (VaR), and sustainability performance. Since minimizing VaR and maximizing sustainability do not necessarily lead to well-diversified portfolios, we assess the incremental contribution of diversification, measured by the Diversification Ratio (DR). To this end, a four-objective Mean–VaR–ESG-diversification model is compared with a reduced three-objective Mean–VaR–ESG formulation. Given the non-convex nature of the resulting optimization problems, both formulations are solved using an adapted version of ev-MOGA. The study further incorporates investor preferences through a preference-direction framework. Instead of requiring predefined objective weights, this approach allows investors to specify their preferred direction in the objective space, facilitating the identification of portfolios that reflect different priorities across return, downside risk, and sustainability. The proposed methodology is evaluated through an extensive out-of-sample analysis of four equity datasets based on major stock indices: the Euro Stoxx 50, FTSE 100, S&P 100, and Nasdaq 100. The results show consistent improvements in diversification, volatility, and VaR, with generally modest reductions in ESG scores and trade-offs in return performance that vary across datasets and investor profiles.",
  "abstract_shown": true,
  "affiliations": [
    "Universitat Politècnica de València, Valencia, Spain; Corresponding author.",
    "Universitat Politècnica de València, Valencia, Spain",
    "Roma Tre University, Rome, Italy"
  ],
  "article_type": null,
  "arxiv": null,
  "author_total": 3,
  "authors": [
    {
      "affs": [
        0
      ],
      "name": "Ana Garcia-Bernabeu"
    },
    {
      "affs": [
        1
      ],
      "name": "Adolfo Hilario-Caballero"
    },
    {
      "affs": [
        2
      ],
      "name": "Francesca Luciani"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/ca3305sappgqe.bib",
  "cited_by": 0,
  "doi": "10.1016/j.orp.2026.100420",
  "fulltext_url": "http://www.sciencedirect.com/science/article/pii/S2214716026000436",
  "id": "ca3305sappgqe",
  "issns": [
    "2214-7160"
  ],
  "landing_url": "https://doi.org/10.1016/j.orp.2026.100420",
  "language": "en",
  "licence": "CC-BY",
  "licence_label": "CC BY",
  "licence_source": "journal",
  "licence_url": "https://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": null,
  "native_subjects": [
    [
      "lcc",
      "QA1-939"
    ],
    [
      "openalex",
      "1803|Risk and Portfolio Optimization"
    ]
  ],
  "openalex": "W7222935145",
  "pdf_url": null,
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-30",
  "publisher": "Elsevier",
  "ris": "https://research.draconitic.com/paper/ca3305sappgqe.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T13:44:27Z",
      "native_id": "0aca0f0a3fc64cbc8a577ce3f1023ac3",
      "source": "doaj",
      "url": "https://doi.org/10.1016/j.orp.2026.100420"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "lcc:QA1-939",
      "subfield": "general"
    }
  ],
  "title": "Sustainable portfolio optimization with four objectives: Assessing the role of diversification",
  "title_text": "Sustainable portfolio optimization with four objectives: Assessing the role of diversification",
  "type": "peer-reviewed",
  "updated_at": "2026-10-31T14:20:20Z",
  "url": "https://research.draconitic.com/paper/ca3305sappgqe",
  "venue": "Operations Research Perspectives",
  "versions": []
}