Environmental

social and governance (ESG) investment focuses not only on financial returns

but also on the sustainable development and social responsibility of enterprises

which aims to promote social and environmental well-being and achieve economic benefits. However

the risk and return prediction of ESG investment is complex and changeable

and traditional prediction methods often fail to accurately respond to rapid changes in the market. In recent years

machine learning technology has shown great potential in the financial market analysis with its excellent data processing capacity and predictive accuracy. Therefore

this paper discusses the risk and return prediction of ESG investment based on machine learning models

in order to analyze and predict the potential risks and returns of ESG investment by establishing and training various machine learning models.