ABSTRACT
In recent years the ESG has become a very important topic area for the investment community and other financial market participants. Investment in assets which encourage sustainable developments is gaining more and more acceptance. We revisit well-established research results of ESG and momentum investing. We then explore the scope of combining ESG style investing with a premier momentum-based trend. The theoretical background lies in the unbounded knapsack problem; these genres of problems are solved using linear programming. The ESG implementation does not necessarily hamper the performance, and the long-only ESG portfolios turn out to be less risky. The risk-reducing effect, however, does not materialize significantly in the momentum-tilted portfolios.
