Gasser, Stephan, Rammerstorfer, Margarethe, Weinmayer, Karl. 2018. DEA Portfolio Modeling - The Case of Socially Responsible Investing.

RIS

@MISC{Gasser2018,
title = {DEA Portfolio Modeling - The Case of Socially Responsible Investing},
author = {Stephan Gasser and Margarethe Rammerstorfer and Karl Weinmayer},
year = {2018},
url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2826033},
language = {EN},
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. },
}