The impact of a sustainability constraint on the mean-tracking error efficient frontier
AbstractMost socially responsible investment funds combine a sustainability objective with a tracking error constraint. We characterize the impact of a sustainability constraint on the mean-tracking error efficient frontier and illustrate this on a universe of US stocks for the period 2003–2010.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 119 (2013)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ecolet
Mean-tracking error optimization; Portfolio optimization; Socially responsible investment; Sustainability;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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