Arbeitspapier

Is socially responsible investing just screening? Evidence from mutual funds

This paper presents the results of an empirical study concerning conventional and socially responsible mutual funds.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we cannot find strong evidence of di erences between conventional and socially responsible mutual funds. In particular, the calculated risk tolerance parameters describing the real portfolio composition best show that socially responsible mutual funds may be even less concerned about the ESG-scores in the preference functional than conventional funds.

Language
Englisch

Bibliographic citation
Series: SFB 649 Discussion Paper ; No. 2012-025

Classification
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
Subject
socially responsible investing
inverse portfolio selection
Ethische Geldanlage
Investmentfonds
Portfolio-Management
Vergleich
Schätzung
Welt

Event
Geistige Schöpfung
(who)
Hirschberger, Markus
Steuer, Ralph E.
Utz, Sebastian
Wimmer, Maximilian
Event
Veröffentlichung
(who)
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
(where)
Berlin
(when)
2012

Handle
Last update
10.03.2025, 11:41 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Hirschberger, Markus
  • Steuer, Ralph E.
  • Utz, Sebastian
  • Wimmer, Maximilian
  • Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

Time of origin

  • 2012

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