Safety first portfolio choice based on financial and sustainability returns

Dorfleitner, Gregor; Utz, Sebastian

doi:10.1016/j.ejor.2012.02.034

Cited by 63 publications

(35 citation statements)

References 29 publications

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“…However, conventional mutual funds may exhibit non-zero λ ν 's due to random noise stemming SR mutual funds differ in those years. Adler & Kritzman (2008) and Dorfleitner & Utz (2012) show that building portfolios in which ESG-score is an objective yields a decrease in returns relative to portfolios where social responsibility is of only minor importance. Following this result, we test in H2b whether the returns of SR mutual funds are significantly lower than the returns of conventional funds.…”

Section: Resultsmentioning

confidence: 99%

“…However, recent studies suggest that in many situations a more complex decision model may be at work (Abdelaziz et al, 2007;Ballestero et al, 2012;Bollen, 2007;Dorfleitner & Utz, 2012;Hallerbach et al, 2004;Steuer et al, 2007;. Toward that end, in Hirschberger et al (2013), a methodology is developed for extending the portfolio selection model of Markowitz to include a third criterion.…”

Section: Introductionmentioning

confidence: 99%

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Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

Utz

Wimmer

Hirschberger³

et al. 2014

European Journal of Operational Research

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133

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We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface. Until recently, it had not been possible to compute such a surface. But by using a new method that is able to generate the nondominated surfaces of tri-criterion portfolio selection problems, we are able to compute via inverse optimization the implied risk tolerances of given funds that pursue an additional objective beyond risk and return. In applying this capability to a broad sample of conventional and socially responsible (SR) mutual funds, we find that after the screening process there appears to be no significant difference between how assets are allocated in socially responsible and conventional mutual funds, which is likely to be different from what most SR investors would expect.

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Section: Resultsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

Utz

Wimmer

Hirschberger³

et al. 2014

European Journal of Operational Research

Self Cite

133

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“…While Cowton (1999) summarizes the discussion on how to refer to these investment types as a ''matter of taste,' ' Dorfleitner and Utz (2012) do not see the need for a general definition of SRI, stating that sustainability means something different for every individual investor, and that sustainable investments sufficiently summarize every desirable non-financial impact an investment may have. Nevertheless, scholars have sought to find an appropriate terminology.…”

Section: Terminologymentioning

confidence: 99%

“…This approach seeks to lay a theoretical basis to quantify social returns. Dorfleitner and Utz (2012) aim at a specific type of investor: the safety first investor that is concerned that his portfolio falls under a specified threshold with regard to return. In a first step, they determine the sustainability return for single investments by using sustainability ratings and further let the investor choose a combination of these objective values under consideration of his specific ethical utility function.…”

Section: Sr Investment Rating and New Approaches For Implementationmentioning

confidence: 99%

Ethical requirement and financial interest: a literature review on socially responsible investing

Wallis¹,

Klein

2014

Bus Res

131

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract This paper provides an overview of the status quo in socially responsible investing (SRI) literature. We outline motives, history, and current best practice of SRI. We also provide a thorough analysis of a wide set of studies that cover two key topics in this field: the first research objective is to determine the relative performance of SRI vehicles in comparison to their conventional benchmarks. Our metaanalysis shows that most research studies find that socially responsible (SR) investments perform equal to conventional investments, but these findings are challenged by contradictory results from other studies. The second objective is to analyze SR behavior's effects on a company's financial results. We cover the period between 1986 and 2012. This paper provides future researchers with a well-documented and structured overview of the existing literature on SRI, thereby identifying gaps that might be closed by future research. Terms of use: Documents in EconStor may

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“…Practitioners and researchers have acknowledged the growing concern of investors, individual and institutional, about ethical, environmental, social and governance issues, even if just taken as a way of decreasing the investment risks. Some recent examples are the works by Plantinga and Scholtens (2001), Hallerbach et al (2004), Drut (2010), Ballestero et al (2012), , Dorfleitner and Utz (2012), Bilbao-Terol et al (2012), Bilbao-Terol et al (2013), Pérez-Gladish and M'Zali (2010), Pérez-Gladish et al (2012) Pérez-Gladish et al (2013), Cabello et al (2014), Utz et al (2014) and Calvo et al (2014), Bilbao-Terol et al 2015, Méndez-Rodríguez et al (2014. Their contents have been analysed and summarized in Table 1 (Note: the heading row of the table refers to the issues that were analysed in the review.…”

Section: 3the Spanish Sri Market: Strengths and Weaknessesmentioning

confidence: 99%

Assessing mutual funds’ corporate social responsibility: a multistakeholder-AHP based methodology

et al. 2016

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García-Melón, M.; Pérez Gladish, BM.; Gómez-Navarro, T.; Méndez Rodriguez, P. (2016). Assessing mutual funds' corporate social responsibility: a multistakeholder-AHP based methodology. Annals of Operations Research. 244(2):475-503. doi:10.1007/s10479-016-2132-5. 1Running head: SRI multi-stakeholders ranking 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 AbstractThere are an increasing number of individual or corporate investors who demand Social Responsibility (SR) to a financial asset. Social responsibility is a multi-dimensional concept that requires identifying a number of criteria and their weights to be assessed in a financial asset. Currently a varied discussion is held among practitioners and academics with respect to this question. The common practice is to equally weight all the social responsibility criteria. However, investors may wish to prioritize a particular dimension depending on their preferences. Therefore, the aim of this paper is to tackle this issue, e.g. to provide different weights for the different SR criteria according to the opinion of different stakeholders. These weights are later used in order to build a composite measure of social responsibility and to rank mutual funds.To that end, Vigeo's list of social responsibility criteria is taken as the starting point for discussion. The Equitics® database gives the information for the companies' social responsibility performance according to those criteria. Stakeholders are selected according to various proposals and the Analytic Hierarchy Process is applied to weighting the Vigeo's criteria according to the stakeholders' preferences. The methodology allows not only assessing the financial assets but also tracking their evolution with the periodic Equitics® database updates.To prove the feasibility and utility of the methodology, a case study analysing Spanish equity mutual funds has been carried out. Among other results, the method shows that the so-called "responsible" funds do not perform particularly well in the social responsibility assessment. Besides, we have found that there are few mutual funds with a good balance between financial and social responsibility behaviour.

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Safety first portfolio choice based on financial and sustainability returns

Cited by 63 publications

References 29 publications

Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

Ethical requirement and financial interest: a literature review on socially responsible investing

Assessing mutual funds’ corporate social responsibility: a multistakeholder-AHP based methodology

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