The general objective of the research is to study the relationships between ESG indicators and the financial performance of a group of companies listed on the Latin American Integrated Market (MILA) stock exchanges, for the period 2011-2020. To this end, a systematic literature review was carried out that allowed to collect, synthesize and analyze the main scientific publications on the field of responsible investment, as well as evaluate the evidence presented in them, and then study the relationship between ESG indicators and financial performance for each company, moving in a third moment to evaluate the same relationship at the level of investment portfolios. This document is divided into nine chapters: Chapter 1 begins with the introduction. Chapter 2 delimits and justifies the research problem. Chapter 3 presents the general and specific objectives. Chapter 4 develops the theoretical framework, which includes the most relevant aspects of traditional financial evaluation, contemporary theories such as Altman's Z tests and Piotroski's F, the formation of investment portfolios from the mean-variance method, the relationship of the organization and its environment, responsible investment and sustainable finance, the measurement of corporate social performance, ESG approaches to investment selection and portfolio selection, ending with a contextual framework and a legal framework. Chapter 5 presents the systematic review of literature, using the results of bibliometric analysis and scientific mapping. Chapter 6 presents the analysis of dynamic panel data for estimating the relationship between scoring and ESG disclosure, and different indicators of corporate financial performance. Chapter 7 explains portfolio construction models under ESG criteria, as well as efficient boundaries and a measure of the investor's psychic dividend. Finally, chapter 8 presents the conclusions, while recognizing the limitations of the study and suggesting ideas for future research, to conclude in chapters 9 and 10 with the references and annexes, respectively. The results obtained show a direct relationship between ESG strategy and financial performance, specifically showing that better ESG indicators and transparency are related to lower probability of bankruptcy, greater comprehensive financial strength, higher generation of corporate value and superior risk/return coefficients. Likewise, a set of advantages that the inclusion of responsible investment criteria presents in terms of risk and return rates and indices of Jensen, Treynor, Alpha, VaR, tracking error, information coefficient, efficient borders and psychic dividends was evidenced, while identifying clear disadvantages for portfolios composed of companies that do not report ESG information.
