Sustainable Investing Meets Natural Language Processing - a Systematic Framework for Building Customized Theme Portfolios
Risk & Reward, #3/2021, pp. 4-13.
10 Pages Posted: 27 Aug 2021
Date Written: August 18, 2021
We lay out a systematic investment process for sustainable theme portfolios, presenting an Energy Transition portfolio as a case study. Using Natural Language Processing (NLP) techniques, we first define relevant subthemes and compile a theme-specific dictionary. This allows us to select relevant companies and narrow down the investment universe using Environmental, Social, and Corporate Governance (ESG) data before constructing the portfolio.
Keywords: Natural Language Processing (NLP), Sustainable Investing, ESG
JEL Classification: G11, G23, M14, Q01
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