ESG文献点评：ESG是否适合用于指数增强策略的构建？

——ESG文献点评          𝑇�=1∑�|𝑅�−𝑅𝐼|𝑠𝑖𝑔𝑛(𝑅�− 𝑅� � 𝑅� � � 𝑅𝐼) �𝑡=1��� 𝐸�=1∑�𝑅�−𝑅� �𝑡=1�� 𝐸� =1∑��𝑆�− �𝑣=1�� 1∑� 𝑆� �+� +⋯+�= 𝑠𝑣,� �𝑡=1� 12� 𝑗=0 𝑗=0 𝑆� 𝑆� � 𝑆� � �[∑𝑣−1𝑘�+1,∑� 𝑘𝑗] 𝛺� 1 =[𝛿�∣𝑠�≤𝛿�≤𝑠𝑣],�=1,2,…,� ���� 𝛺� 2 𝑠� 𝑃� 𝛺� �� 𝛺� 2 =[𝛿�∣𝛿�=�𝑢,𝑢𝑇�≤1],�=1,2,…,�𝛿�−𝑠� �� � 𝑅𝐸�=1∑��(�+𝛿𝑣)𝑇�−1∑� � 𝑆� =𝛺� 1 𝛿�∈𝛺�(𝛿𝑣) �� �𝑣=1��� �𝑡=1� ��� (�) � �� <0(𝛿𝑣)=0 𝑒𝑇�=1 −∞≤�≤�≤+∞ 𝑙� �≤�≤� ||𝑤||≤� 𝒎𝒊�𝒎𝒂�𝝀(𝑻𝑬)−𝜸(𝑬𝑹)−𝜽(𝑹𝑬𝑺) � �𝒗,𝜹𝒗∈𝜴� 𝒔.𝒕.𝒆𝑻�=� �≤�≤� ||𝒘||≤� 𝛺� 1 𝛺� 1 𝒎𝒊�𝝀(𝑻𝑬)−𝜸(𝑬𝑹)−𝜽(𝑬𝑺) � 𝒔.𝒕.𝒆𝑻�=� �≤�≤� ||𝒘||≤� 𝐸𝐻𝐿� 𝑹𝒊�−𝑹𝒇,�=𝑎�+𝖰𝒊(𝑹𝒎,�−𝑹𝒇,𝒕)+𝒔𝒊𝑺𝑴𝑩�+𝒉𝒊𝑯𝑴𝑳�+𝒎𝒊𝑴𝑶𝑴�+𝒓𝒊𝑹𝑴𝑾�+𝒄𝒊𝑪𝑴𝑨�+𝒆𝒊𝑬𝑯𝑳�+𝒆𝒊,� 𝑅𝑖� 𝑅𝑓,� 𝑅𝑚,� 𝑒𝑖,� 𝑆𝑀𝐵� 𝐻𝑀𝐿� 𝑅𝑀𝑊� 𝐶𝑀𝐴� 𝑀𝑂𝑀�𝐸𝐻𝐿�