This study uses a stochastic dominance approach to investigate portfolio performance based on Environmental, Social and Governance (ESG) criteria. Specifically, we conduct a series of stochastic dominance tests to determine whether high-ESG portfolios outperform low-ESG and market portfolios. The results reveal that, in the short term, no significant dominance relationships exist between high- and low-ESG portfolios. However, in the long term, high-ESG portfolios significantly dominate both low-ESG and market portfolios in terms of second- and third-degree stochastic dominance. Our findings offer valuable insights into integrating ESG considerations into investment decisions.

中文翻译：

---

ESG 投资组合的表现：随机优势方法


本研究使用随机优势方法根据环境、社会和治理 （ESG） 标准调查投资组合的表现。具体来说，我们进行了一系列随机优势测试，以确定高 ESG 投资组合是否跑赢低 ESG 和市场投资组合。结果表明，在短期内，高 ESG 和低 ESG 投资组合之间不存在显著的主导关系。然而，从长远来看，就二级和三级随机优势而言，高 ESG 投资组合在低 ESG 和市场投资组合中都占据主导地位。我们的研究结果为将 ESG 考虑因素纳入投资决策提供了宝贵的见解。