Gasser, Stephan, Rammerstorfer, Margarethe, Weinmayer, Karl. 2018. DEA Portfolio Modeling - The Case of Socially Responsible Investing.
BibTeX
Abstract
In this paper, we expand the literature on multi-criteria portfolio modeling for social responsible investments using multi-directional efficiency analysis (MEA). We apply a positive screening according to MEA efficiency scores, but also exploit the information contained in the efficiency score directly (efficiency-weighting) in order to compute portfolio weights. The broad empirical analysis is based on public equity market data of social responsible investments from the USA going back to 2005. We find that a consideration of a social variable in the MEA improves financial and social performance. The efficiency-weighted portfolios yield superior financial performance compared to the other proposed models. A combination of positive screening and efficiency-weighting leads to the best social performance of all tested models. Overall, all models outperform a normal mean-variance portfolio and also do considerably well compared to the implemented benchmarks in general.
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Status of publication | Published |
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Affiliation | WU |
Type of publication | Working/discussion paper, preprint |
Language | English |
Title | DEA Portfolio Modeling - The Case of Socially Responsible Investing |
Year | 2018 |
URL | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2826033 |
JEL | G11, G15, A13 |
Associations
- People
- Gasser, Stephan (Details)
- Rammerstorfer, Margarethe (Details)
- Weinmayer, Karl (Details)
- Organization
- Finance, Accounting and Statistics DP (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 5300 Economics (Details)
- 5311 Public finance (Details)