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.

RIS

@CONFERENCE{Weinmayer2017,
title = {DEA Portfolio Modeling - The Case of Socially Responsible Investing},
author = {Karl Weinmayer and Margarethe Rammerstorfer and Stephan Gasser},
year = {2017},
address = {Key West},
language = {EN},
misc = {Southern Finance Association},
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. },
}