Global nonparametric diversified frontier-based efficiency measures and Luenberger productivity indices of ESG funds

IF 6.7 2区管理学 Q1 MANAGEMENT

Omega-international Journal of Management Science Pub Date : 2025-05-16 DOI:10.1016/j.omega.2025.103354

Tiantian Ren , Helu Xiao , Zhongbao Zhou

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Abstract

This paper combines both financial and non-financial indicators of ESG funds to construct diversified frontier-based contemporaneous and nonconvex global portfolio possibility sets, and proposes contemporaneous and nonconvex global efficiency measures for ESG funds. On these bases, the nonconvex global Luenberger productivity indices (GLPIs) are developed correspondingly. We further present an additive decomposition and analyze the full decomposition of the ESG fund efficiency measures and GLPIs. This framework allows to distinguish between overall efficiency (OE), portfolio efficiency (PE), and allocative efficiency (AE) of ESG funds as well as OE-, PE- and AE-based GLPIs within both contemporaneous and global technology settings. Utilizing the unbalanced panel data of China’s ESG funds during 2018–2023, we examine the dynamic evolution of ESG fund efficiencies and GLPIs as well as their decompositions, and explore the impact of non-financial indicators on these measures.

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ESG基金的全球非参数多元化前沿效率测度和Luenberger生产率指数

本文结合ESG基金的财务和非财务指标，构建了多元化的基于边界的同期和非凸全球投资组合可能性集，并提出了ESG基金同期和非凸全球效率测度。在此基础上，建立了相应的非凸全局Luenberger生产力指数。我们进一步提出了可加性分解，并分析了ESG基金效率指标和glpi的完全分解。该框架可以区分ESG基金的总体效率（OE）、投资组合效率（PE）和配置效率（AE），以及基于OE、PE和AE的glpi在同期和全球技术环境下的表现。利用2018-2023年中国ESG基金的不平衡面板数据，研究了ESG基金效率和glpi的动态演变及其分解，并探讨了非财务指标对这些指标的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Omega-international Journal of Management Science 管理科学-运筹学与管理科学

CiteScore

13.80

自引率

11.60%

发文量

130

审稿时长

56 days

期刊介绍： Omega reports on developments in management, including the latest research results and applications. Original contributions and review articles describe the state of the art in specific fields or functions of management, while there are shorter critical assessments of particular management techniques. Other features of the journal are the "Memoranda" section for short communications and "Feedback", a correspondence column. Omega is both stimulating reading and an important source for practising managers, specialists in management services, operational research workers and management scientists, management consultants, academics, students and research personnel throughout the world. The material published is of high quality and relevance, written in a manner which makes it accessible to all of this wide-ranging readership. Preference will be given to papers with implications to the practice of management. Submissions of purely theoretical papers are discouraged. The review of material for publication in the journal reflects this aim.