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

Authors

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

Keywords:

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

Abstract

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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Published

2013-12-31

How to Cite

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. Retrieved from https://revistas.uma.es/index.php/recta/article/view/19963

Issue

Vol. 14 No. 2 (2013): Rect@ Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

Section

Artículos

License

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.