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Socially responsible investment and portfolio selection

This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investor’s risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Identiferoai:union.ndltd.org:ulb.ac.be/oai:dipot.ulb.ac.be:2013/209829
Date05 October 2011
CreatorsDrut, Bastien
ContributorsMignon, Valérie, Oosterlinck, Kim, Szafarz, Ariane, Gassner, Marjorie, Raymond, Hélène, Briere, Marie, Scaillet, Olivier, Pouget, Sébastien
PublisherUniversite Libre de Bruxelles, Université libre de Bruxelles, Faculté Solvay Brussels School of Economics and Management, Bruxelles
Source SetsUniversité libre de Bruxelles
LanguageFrench
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/doctoralThesis, info:ulb-repo/semantics/doctoralThesis, info:ulb-repo/semantics/openurl/vlink-dissertation
Format1 v. (156 p.), No full-text files

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