Weinmayer, Karl, Rammerstorfer, Margarethe, Gasser, Stephan. 2017. DEA Portfolio Modeling - The Case of Socially Responsible Investing. Southern Finance Association, Key West, Vereinigte Staaten/USA, 15.11. - 18.11.
BibTeX
Abstract
In this paper, we expand the literature on multi-criteria portfolio modeling for social responsible investments using multi-directional effciency analysis (MEA). We apply a positive screening according to MEA effciency scores, but also exploit the information contained in the effciency score directly (effciency-weighting) in order to compute portfolio weights. The broad empirical analysis is based on public equity market data of social resonsible investments from the USA going back to 2005. We fnd that a consideration of a social variable in the MEA improves fnancial and social performance. The effciency-weighted portfolios yield superior fnancial performance compared to the other proposed models. A combination of positive screening and effciency-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 | Paper presented at an academic conference or symposium |
Language | English |
Title | DEA Portfolio Modeling - The Case of Socially Responsible Investing |
Event | Southern Finance Association |
Year | 2017 |
Date | 15.11. - 18.11. |
Country | United States/USA |
Location | Key West |
JEL | G11, G15, A13 |
Associations
- People
- Weinmayer, Karl (Details)
- Rammerstorfer, Margarethe (Details)
- Gasser, Stephan (Details)
- Organization
- Institute for Finance, Banking and Insurance IN (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 5358 Corporate finances (Details)
- 5360 Financial mathematics (Details)
- 5361 Financial management (Details)