A responsible investor’s decision can be conceptualized by the ESG-efficient frontier, a graphical illustration of the investment opportunity set. The benefit of ESG information can be quantified as the resulting increase in the maximum Sharpe ratio (relative to a frontier based on only non-ESG information). The cost of ESG preferences can be quantified as the drop in Sharpe ratio when choosing a portfolio with better ESG characteristics than those of the portfolio with maximum Sharpe...