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


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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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Publication's profile

Status of publication Published
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)
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