A portfolio manager would optimize their portfolio for ESG considerations for the purpose of:

Optimizing a portfolio for ESG (Environmental, Social, and Governance) considerations is primarily aimed at enhancing the risk-return profile. Incorporating ESG factors often leads to better-informed investment decisions, which can align with long-term financial performance. Research has shown that companies with strong ESG practices may exhibit lower risk due to better management of environmental or social issues, regulatory compliance, and overall governance standards. As a result, these companies can potentially deliver superior returns over time, thereby improving the overall risk-return profile of the investment portfolio.

While the other options may have some relevance in specific contexts, they do not capture the principal motivation behind ESG optimization. For instance, eliminating correlations between risk premia or tackling skewness in ESG datasets addresses more technical aspects of investment strategy rather than the broader aim of enhancing portfolio performance through sustainable practices. Benchmarking, although useful in measuring performance against standards or peer groups, does not inherently focus on the goal of improving investment outcomes by integrating ESG factors. Thus, the primary focus remains on enhancing the risk-return profile through strategic ESG integration.