Some effects on the efficient frontier of the investment strategya preliminary approach
- Méndez Rodríguez, M. Paz
- García Bernabéu, Ana
- Hilario Caballero, Adolfo
- Pérez Gladish, Blanca María
ISSN: 1575-605X
Year of publication: 2013
Volume: 14
Issue: 2
Pages: 131-145
Type: Article
More publications in: Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA
Abstract
In this work an indicator of the social responsibility degree of mutual funds is proposed based on the mutual fund�s screening policy and on the quality of the information provided by the fund manager. Once this indicator is obtained it is included as a constraint in the mean-variance classical optimization model. An exploratory numerical experiment is presented in order to check the possible effect on the efficient frontier of different SRI strategies.
Bibliographic References
- 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.