Some effects on the efficient frontier of the investment strategy: A preliminary approach

Autores/as

  • Paz Méndez-Rodríguez Universidad de Oviedo España
  • Ana García-Bernabeu Universidad Politécnica de Valencia España
  • Adolfo Hilario Universidad Politécnica de Valencia España
  • Blanca Pérez-Gladish Universidad de Oviedo España

Palabras clave:

Socially responsible investment strategy, negative screening, positive screening, mutual funds, efficient frontiers

Resumen

In this work an indicator of the social responsibility degree of mutual funds is proposed based on the mutual fund’s screening policy and on the quality of the information provided by the fund manager. Once this indicator is obtained it is included as a constraint in the mean-variance classical optimization model. An exploratory numerical experiment is presented in order to check the possible effect on the efficient frontier of different SRI strategies.

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Publicado

2013-12-31

Cómo citar

Méndez-Rodríguez, P., García-Bernabeu, A., Hilario, A., & Pérez-Gladish, B. (2013). Some effects on the efficient frontier of the investment strategy: A preliminary approach. Revista Electrónica De Comunicaciones Y Trabajos De ASEPUMA, 14(2), 131–145. Recuperado a partir de https://revistas.uma.es/index.php/recta/article/view/19963

Número

Vol. 14 Núm. 2 (2013): Rect@ Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

Sección

Artículos

Licencia

Creative Commons License

Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial 4.0.