20.500.12556/RUL-171998 Analiza donosov z vidika trajnostnih principov (ESG) delo diplomskega seminarja Analysis of returns from the perspective of sustainability principles (ESG) V sodobnem svetu se vse bolj zavedamo vpliva naših dejanj na okolje in družbo. Tako se je razvilo področje trajnostnega investiranja, ki poleg finančne donosnosti upošteva tudi okoljske, družbene in upravljalske vidike podjetij. V diplomskem delu opišemo Markowitzev, CAPM- in večfaktorski model, pri čemer se predvsem osredotočimo na Fama-Frenchev tri- in petfaktorski model. Predstavimo uporabo CAPM- in Fama-Frenchevih modelov za analizo donosov ESG-portfeljev. Raziščemo metodologijo za ocenjevanje presežnih donosov ustvarjenih dolgo-kratkih in Treynor-Blackovih portfeljev ter predstavimo pristope k združevanju ESG-ocen. Obravnavamo naslednje metode: uravnoteženo povprečje, analiza glavnih komponent, Mahalanobisova razdalja, povprečje glasovanja, enotni prenosljivi glas in optimiziran rezultat ESG. Povzamemo rezultate članka, kjer opazujemo ESG-ocene šestih bonitetnih agencij in na njih uporabimo metode za združevanje. Opazujemo presežne donose in Sharpejeve količnike za različne ocene in portfelje. In today’s world, we are increasingly aware of the impact our actions have on the environment and society. This awareness has naturally extended into the financial sector, giving rise to the field of sustainable investing, which considers not only financial returns but also environmental, social, and governance aspects of companies. In this thesis, we describe the Markowitz model, the CAPM, and multifactor models, with a primary focus on the Fama-French three-factor and five-factor models. We present the application of the CAPM and Fama-French models for analyzing the returns of ESG portfolios. We explore the methodology for evaluating excess returns of long-short and Treynor-Black portfolios and introduce several approaches to aggregating ESG scores. The methods discussed include the equal weighted average, principal component analysis, Mahalanobis distance, voting average, single transferable vote, and optimized ESG score. We summarize the findings of a study that examines ESG ratings from six rating agencies and applies the aforementioned aggregation methods. We analyze the resulting excess returns and Sharpe ratios across different scores and portfolios. trajnostni principi (ESG) CAPM-model večfaktorski modeli presežni donosi analiza portfeljev sustainability principles (ESG) capital asset pricing model multifactor models excess returns portfolio analysis true false false Slovenski jezik Angleški jezik Delo diplomskega seminarja/zaključno seminarsko delo/naloga 2025-09-05 08:15:21 2025-09-05 08:15:23 2025-09-30 03:42:42 0000-00-00 00:00:00 2025 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8 152603 247892227 18960.pdf 18960.pdf 1 050EB17ACCCEE22184DAAE9734F172BC 74bb909ddbf4d29e5a7c79530d4ab1423e7ed9a6d383fad2a1caabd7aadce340 8eb8440c-8a1f-11f0-9328-0050569b8976 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=215716 Fakulteta za matematiko in fiziko 0 0 0