Abstract

This study examines whether integrating green energy ESG ETFs into diversified portfolios can enhance performance relative to a traditional S&P 500 benchmark. The analysis evaluates how these sustainable assets influence risk-return dynamics and diversification benefits. Four optimization techniques Risk Parity, Minimum CVaR, Minimum Variance, and Maximum Sharpe Ratio were applied using nine years of ETF data, supported by descriptive statistics, comparative analysis, and performance measures such as the Treynor, Sharpe, and Sortino ratios. The findings show that portfolios including green ETFs experienced higher volatility but also demonstrated improved diversification, particularly in optimization frameworks that prioritize return efficiency. Among the strategies tested, the Maximum Sharpe Ratio consistently delivered the strongest risk-adjusted outcomes, though the contribution of green ETFs varied across market conditions. In contrast, Minimum Variance and Risk Parity approaches, which emphasize downside risk reduction, generated more conservative results with limited outperformance. Overall, the study highlights the potential of incorporating sustainable energy ETFs to enhance portfolio construction, while emphasizing that their effectiveness depends on the chosen optimization method and the inherent volatility of the clean-energy sector. …víceméně