近年來，全球地緣政治風險顯著攀升，對金融市場穩定性與投資決策造成嚴峻挑戰。本研究以處於第一島鏈關鍵戰略地位之台灣與日本，以及美國市場為研究主體，探討在高度地緣政治不確定性下，ESG投資組合是否具備下行風險之防禦韌性。本研究採樣期間為 2017 年至 2025 年，運用滾動視窗法（Rolling Window）估計資產對GPRD 之動態敏感度，並進一步建構結合外生風險因子之動態均值-條件風險值（Mean-CVaR）最佳化模型進行實證分析。實證結果顯示：首先，在地緣政治風險上升期間，三國市場之 ESG指數對 GPRD的敏感度 β 軌跡皆較傳統大盤更快速收斂於零軸，展現出「防禦性脫鉤」（Defensive Decoupling）效果。其次，在跨市場資產配置架構下，納入 ESG 資產與 GPRD 因子之最佳化投資組合，在風險調整後績效（Sharpe Ratio 與 Sortino Ratio）上，皆穩定優於純傳統資產組合，且能有效降低極端下行風險。研究進一步指出，ESG資產的核心價值並非作為高報酬的「獲利引擎」，而更偏向於投資組合中的「保險工具」，於地緣政治衝擊期間提供風險緩衝與穩定效果。本研究證實了 ESG投資在地緣政治震盪期間作為下行風險管理工具的實質效益。此發現不僅填補了第一島鏈市場 ESG投資組合韌性的實證缺口，亦為投資人於複雜政經環境下之跨國資產配置提供了關鍵的依據。

In recent years, rising geopolitical risk has posed significant challenges to financial market stability and investment decision-making. Focusing on the Taiwanese, Japanese, and U.S. markets, this study examines whether ESG portfolios exhibit greater resilience to downside risk under heightened geopolitical uncertainty.Using data from 2017 to 2025, this study applies a rolling-window approach to estimate the time-varying sensitivity of assets to the GPRD factor and further constructs a dynamic Mean-CVaR optimization model incorporating exogenous risk factors for empirical analysis.
The results show that, during periods of rising geopolitical risk, ESG indices across all three markets converge toward zero sensitivity to GPRD more rapidly than conventional market indices, suggesting a defensive decoupling effect. In addition, within a cross-market asset allocation framework, portfolios that incorporate ESG assets and the GPRD factor consistently outperform conventional-only portfolios in terms of risk-adjusted performance, while also reducing extreme downside losses.
Overall, the findings suggest that the core value of ESG assets lies not in serving as a high-return engine, but rather as a portfolio insurance tool for mitigating tail risks and downside losses.This study not only helps fill an empirical gap in the literature on ESG portfolio resilience in First Island Chain markets, but also provides useful evidence for cross-border asset allocation under complex geopolitical conditions.

金融監督管理委員會（2022）．綠色金融行動方案 3.0〔PDF〕．https://www.fsc.gov.tw/websitedowndoc?file=chfsc/202209281336330.pdf&filedisplay=%E7%B6%A0%E8%89%B2%E9%87%91%E8%9E%8D%E8%A1%8C%E5%8B%95%E6%96%B9%E6%A1%883.0.pdf
國泰金控（2024）．ESG 永續發展是什麼？跟 SDGs、CSR 有什麼不同？6 分鐘帶你掌握企業發展關鍵力！．國泰金控永續金融文章專區．https://www.cathayholdings.com/holdings/esg/media/articles/esg-life/esg_sustainable_development
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