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
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2012-025
- Classification
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Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
- Subject
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socially responsible investing
inverse portfolio selection
Ethische Geldanlage
Investmentfonds
Portfolio-Management
Vergleich
Schätzung
Welt
- Event
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Geistige Schöpfung
- (who)
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Hirschberger, Markus
Steuer, Ralph E.
Utz, Sebastian
Wimmer, Maximilian
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
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Berlin
- (when)
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2012
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
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