Patent US 11,657,454

A system for constructing an environmental, social and governance (ESG) optimized investment portfolio includes an ESG database, an alpha database, a user interface, and an ESG optimization engine. The ESG database includes ESG data for one or more investment products used to construct an investment portfolio. The alpha database includes alpha data for the one or more investment products used to construct the investment portfolio and the alpha data comprise rate of return data for the one or more investment products. The user interface is used for receiving a user's input for selecting an ESG optimization factor. The ESG optimization engine includes an ESG optimization application that receives alpha data for the one or more investment products of the investment portfolio, ESG data for the one or more investment products of the investment portfolio and the user's ESG optimization factor and calculates a combined alpha-ESG rate of return for the investment portfolio, a combined alpha-ESG factor for the investment portfolio and a covariance between the combined alpha-ESG factor and the combined alpha-ESG rate of return for the investment portfolio.