ESG portfolio performance across risk tiers and market conditions: New evidence from China
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Z Zhu, Y Liu, Y Li, KC Chan
International Review of Economics & Finance, 2026
Elsevier
We propose a theoretical model and examine the performance of high-rated ESG portfolios in the Chinese equity market from 2020 to 2025, using mean-variance optimization and stochastic dominance tests. Portfolios constructed by top-rated ESG firms are evaluated against the CSI 300 and CSI 800 benchmarks across distinct risk profiles. Results show that low-risk ESG portfolios consistently outperform market indices in both absolute and risk-adjusted terms. Medium-risk portfolios achieve performance parity, while high-risk portfolios …
