Some effects on the efficient frontier of the investment strategya preliminary approach

  1. Méndez Rodríguez, M. Paz
  2. García Bernabéu, Ana
  3. Hilario Caballero, Adolfo
  4. Pérez Gladish, Blanca María
Revista:
Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

ISSN: 1575-605X

Año de publicación: 2013

Volumen: 14

Número: 2

Páginas: 131-145

Tipo: Artículo

DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Otras publicaciones en: Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

Resumen

En este trabajo presentamos un indicador del grado de responsabilidad social de los fondos de inversión. El indicador propuesto se basa en el número de filtros sociales aplicados por los gestores de los fondos y en la calidad de la información sobre el proceso de aplicación de los filtros. Una vez obtenido este indicador se incorpora como restricción en el modelo de optimización de Markowitz. Finalmente presentamos un experimento numérico mediante el que se pretende realizar una primera exploración de los efectos sobre la frontera eficiente de las distintas dimensiones de responsabilidad social y de las diferentes estrategias inversoras.

Referencias bibliográficas

  • Barnett, M.L. and Salomon, R.M. Beyond Dichotomy: the Curvilinear Relationship between Social Responsibility and Financial Performance. Strategic Management Journal 27 (2006) 1101- 1122.
  • Renneboog, L. Horst, J.T. and Zhang, C. Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking and Finance 329 (2008) 1723-1742.
  • Lee, D.D. Humphrey, J.E. Benson, K.L. and Ahn, J.Y.K. Socially Responsible Investment Fund Performance: the Impact of Screening Intensity. Accounting and Finance 50 (2010) 351-370.
  • Jegourel, Y. and Maveyraud, S. A reassessment of European SRI Funds underperformance: does the intensity of extra-financial negative screening matter? Economics Bulletin 301 (2010) 913-923.
  • Scholtens, B. Financial and Social Performance of Socially Responsible Investments in the Netherlands. Corporate Governance 156 (2007) 1090-1105.
  • Ballestero, E. Bravo, M. Pérez-Gladish, B. Arenas-Parra, M. and Pla-Santamaria, D. Socially responsible investment: A multicriteria approach to portfolio selection combining ethical and financial objectives. European Journal of Operational Research 216 (2012) 487–494.
  • Bilbao-Terol, A. Arenas-Parra, M. and Cañal, V. Selection of Socially Responsible Portfolios using Goal Programming and Fuzzy Technology. Information Sciences 189 (2012) 110-125.
  • Pérez-Gladish, B. Méndez-Rodríguez, P. M’Zali, B. and Lang, P. Mutual Funds’ Efficiency Measurement under Financial and Socially Responsible Criteria. Journal of Multi-Criteria Decision Analysis 20(3-4) (2013) 109-125.
  • Gupta, P. Mehlawat, M.K. and Saxena, A. Hybrid optimization models of portfolio selection involving financial and ethical considerations. Knowledge-Based Systems 37 (2013) 318-337.
  • Cabello, J.M. Ruiz, F. Pérez-Gladish, B. and Méndez-Rodríguez, P. Synthetic indicators of mutual funds’environmental responsibility: An application of the Reference Point Method. European Journal of Operational Research in press (2014).
  • Markowitz, H. Portfolio selection, Journal of Finance 7 (1952) 77–91.
  • Drut, B. Sovereign Bonds and Socially Responsible Investment. Journal of Business Ethics 92 (2010) 131-145.
  • Utz, S. Wimmer, M. Hirschberger, M. and Steuer, R. Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds. European Journal of Operational Research 234 (2014) 491-498.
  • SIF 2012 Report on sustainable and responsible investing trends in the United States, (Social Investment Forum, Washington DC, 2012)
  • Barracchini, C. An Ethical Investments Evaluation for Portfolio Selection. Electronic Journal of Business Ethics and Organization Studies 12(2) (2007) http://ejbo.jyu.fi/articles/0901_1.html.
  • Dhaliwal, D.S. Li, O.Z. Tsang, A.H. and Yang, Y.G. Voluntary non-financial disclosures and the cost of equity capital: the initiation of corporate social responsibility reporting. The Accounting Review 86 (2011) 59-100.
Fuente de los datos: Dialnet