HERSUGONDO, Hersugondo (2026) ARTIKEL Dr. HERSUGONDO, SE, MM: Modern Portfolio Theory for Green Investments: Balancing Financial Returns and Environmental Impact. QUALITY Access to Success, 27 (213).

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Abstract

The increasing emphasis on environmental sustainability has led investors to seek green investments that deliver
both financial returns and positive environmental impact. This study applies Modern Portfolio Theory (MPT) to build
optimal portfolios of green assets, including renewable energy stocks and green bonds, balancing financial
performance with environmental goals. Using daily price and environmental data from 2020 to 2024, returns, risks,
correlations, and environmental impact scores—derived from indicators like carbon emissions and energy
efficiency—were calculated. These scores were integrated as minimum threshold constraints in the optimization
process to ensure portfolios meet environmental standards.While the dataset covers a limited period and specific
green assets, cross-validation and sensitivity analyses were conducted to address potential biases and enhance the
robustness of findings. Comparative analysis shows that diversified green portfolios outperform conventional ones
by achieving higher risk-adjusted returns and lower volatility, albeit sometimes with trade-offs in maximum returns.
Dynamic correlations among green assets underscore the need for regular portfolio rebalancing to maintain
efficiency.The results align with existing literature on ESG integration and offer practical guidance for investors and
policymakers promoting sustainable finance. Overall, MPT effectively supports green investing by creating portfolios
that achieve attractive financial returns alongside meaningful environmental benefits.

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