Real-world datasets for sustainable portfolio selection

The first file (Dataset_SRI.xlsx) contains the asset data of monthly returns and ESG risk scores for three fund managers from January 2011 to December 2019. The second file (Pareto_Fronts.xlsx) contains the mean-variance-ESG Pareto fronts and the Pareto sets of non-dominated solutions for each manager obtained using the ev-MOGA algorithm.

To get these Pareto fronts, we have considered an in-sample period of 72 monthly returns over six years from January 2011 to December 2016. To implement the ev-MOGA algorithm, we use an initial population of 50000 individuals and an auxiliary population of 500. The number of boxes defining the space of each function is 100.