MULTIDIMENSIONAL EXTENSION OF THE MODERN PORTFOLIO THEORY (MPT): From a 2D Frontier to a 4D Tool for ESG- and Regulation-Aware Investors
The thesis extends classical 2D MPT to a 4D framework that also includes ESG and Market SCR. It builds 4D profiles for 14 asset classes using returns, volatility, ESG scores and Solvency II SCR. First, an A Posteriori model generates millions of portfolios and extracts a 4D Pareto-efficient frontier. Second, an A Priori model applies investor profile to pick preferred portfolios, revealing distinct allocation patterns. Third, the 4D set is compared to 2D results.