Quotation 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.


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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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Publication's profile

Status of publication Published
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)
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