Peylo and Schaltegger (2012)
Peylo, Benjamin Tobias, and Stefan Schaltegger. “Tracing Business Cases for Sustainability in Investment Portfolios.” Working paper (Leuphana University of Lüneburg, Germany), April 15, 2012.
From the authors' abstract: "This paper explores business cases for sustainable investment by analyzing the interdependence between sustainability and investment return in optimized stock portfolios... It has not been investigated so far whether the application of an optimization framework combining quantitative financial criteria as well as qualitative sustainability criteria in the portfolio selection process results in a different outcome [from conventional portfolio construction methods]. This paper applies such a framework to the German Stock Market Index (DAX) for the period of 2003-2010 by constructing portfolios with different predefined levels of sustainability and by comparing their performance. The main findings show a distinct yet non-linear relationship reflecting a business case relationship between sustainability and return which is especially strong in phases of weak market performance."
LK comment: See also Nofsinger and Varma (2013)
Links: Peylo and Schaltegger are both prolific researchers in the field of sustainable finance - although this paper is not currently (2018) online, many related projects are -