In recent years socially responsible investing has become an increasingly more
popular subject with both private and institutional investors. At the same time, a
number of scientific papers have been published on socially responsible investments
(SRIs), covering a broad range of topics, from what actually defines SRIs to the
financial performance of SRI funds in contrast to non-SRI funds. In this paper, we
revisit Markowitz' Portfolio Selection Theory and propose a modification allowing
to incorporate not only asset-specific return and risk but also a social responsibility
measure into the investment decision making process. Together with a risk-free asset,
this results in a three-dimensional capital allocation plane that allows investors to
custom-tailor their asset allocations and incorporate all personal preferences regarding
return, risk and social responsibility. We apply the model to a set of over 6,231
international stocks and find that investors opting to maximize the social impact
of their investments do indeed face a statistically significant decrease in expected
returns. However, the social responsibility/risk-optimal portfolio yields a statistically
significant higher social responsibility rating than the return/risk-optimal portfolio.
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:4677 |
| Date | 05 1900 |
| Creators | Gasser, Stephan, Rammerstorfer, Margarethe, Weinmayer, Karl |
| Publisher | Elsevier |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Article, PeerReviewed |
| Format | application/pdf |
| Relation | http://dx.doi.org/10.1016/j.ejor.2016.10.043, https://www.elsevier.com/, http://epub.wu.ac.at/4677/ |
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