Advanced Search
MyIDEAS: Login to save this paper or follow this series

The cost of sustainability on optimal portfolio choices

Contents:

Author Info

  • Stefano Herzel
  • Marco Nicolosi
  • Catalin Starica

Abstract

We examine the impact of including sustainability related constraints on optimal portfolio selection. Our analysis covers an investment set containing the components of the S&P500 index from 1993 to 2008. The optimizations are performed according to the classical mean-variance approach while sustainability constraints are introduced by eliminating from the investment pool those assets that do not comply to given social responsibility criteria (screening). We compare the efficient frontiers with and without screening. The analysis is performed on the three main dimensions of sustainability, namely Environmental, Social and Governance. We find that socially responsible screening implies a small loss in terms of Sharpe Ratio even though it has a strong impact on the market capitalization of the optimal port-folio. The spanning test shows that the ex-post differences between the two frontiers, when short selling is not allowed, are significant only in the case of Environmental screening

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.ec.unipg.it/DEFS/uploads/qd_84_web.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Università di Perugia, Dipartimento Economia, Finanza e Statistica in its series Quaderni del Dipartimento di Economia, Finanza e Statistica with number 84/2011.

as in new window
Length: 32 pages
Date of creation: 01 Feb 2011
Date of revision:
Handle: RePEc:pia:wpaper:84/2011

Contact details of provider:
Postal: via Pascoli, 20 - 06123 Perugia
Phone: +39 075 5855279
Fax: +39 075 5855299
Email:
Web page: http://www.ec.unipg.it/DEFS/
More information through EDIRC

Related research

Keywords: Socially responsible investments; optimal portfolios; screening.;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Bruno Bracalente & Cristiano Perugini, 2008. "Factor decomposition of cross-country income inequality with interaction effects," Quaderni del Dipartimento di Economia, Finanza e Statistica 54/2008, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  2. Kodde, David A & Palm, Franz C, 1986. "Wald Criteria for Jointly Testing Equality and Inequality Restriction s," Econometrica, Econometric Society, vol. 54(5), pages 1243-48, September.
  3. Cristiano Perugini & Fabrizio Pompei & Marcello Signorelli, 2008. "FDI, R&D and human capital in Central and Eastern European countries," Post-Communist Economies, Taylor & Francis Journals, vol. 20(3), pages 317-345.
  4. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
  5. Paolo Naticchioni & Andrea Ricci & Emiliano Rustichelli, 2007. "Wage Structure, Inequality And Skill-Biased Change: Is Italy An Outlier?," Quaderni del Dipartimento di Economia, Finanza e Statistica 38/2007, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  6. Davide Aristei & Federico Pierali & Luca Pieroni, 2007. "Cohort, Age and Time Effects in Alcohol Consumption by Italian Households: a Double-Hurdle Approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 30/2007, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  7. Mirko Abbritti, 2007. "Unemployment, Inflation and Monetary Policy in a Dynamic New Keynesian Model with Hiring Costs," IHEID Working Papers 07-2007, Economics Section, The Graduate Institute of International Studies.
  8. Pieroni, Luca & d'Agostino, Giorgio & Lorusso, Marco, 2008. "Can we declare military Keynesianism dead?," Journal of Policy Modeling, Elsevier, vol. 30(5), pages 675-691.
  9. Bauer, Rob & Koedijk, Kees & Otten, Roger, 2005. "International evidence on ethical mutual fund performance and investment style," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1751-1767, July.
  10. Bruno Bracalente & Cristiano Perugini, 2008. "The Components of Regional Disparities in Europe," Quaderni del Dipartimento di Economia, Finanza e Statistica 47/2008, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  11. Alessandra Righi & Dario Sciulli, 2009. "The Timing of the School-to-Permanent Work Transition: a Comparison across Ten European Countries," Quaderni del Dipartimento di Economia, Finanza e Statistica 65/2009, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  12. Cristiano Perugini, 2008. "Employment and Unemployment in the Italian Provinces," Quaderni del Dipartimento di Economia, Finanza e Statistica 49/2008, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  13. Carlo Andrea BOLLINO & Paolo POLINORI, 2005. "Il valore aggiunto su scala comunale: la Regione Umbria 2001-2003," Quaderni del Dipartimento di Economia, Finanza e Statistica 15/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  14. David Aristei & Luca Pieroni, 2008. "A double-hurdle approach to modelling tobacco consumption in Italy," Applied Economics, Taylor & Francis Journals, vol. 40(19), pages 2463-2476.
  15. Luca Pieroni & Fabrizio Pompei, 2005. "Innovations and Labour Market Institutions: An Empirical Analysis of the Italian Case in the middle 90’s," Quaderni del Dipartimento di Economia, Finanza e Statistica 12/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  16. Marcello Signorelli & Enrico Marelli, 2007. "Institutional change, regional features and aggregate performance in eight EU’s transition countries," Quaderni del Dipartimento di Economia, Finanza e Statistica 37/2007, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  17. Luisa Franzini & Margherita Giannoni, 2009. "Determinants of Health Disparities in Italian Regions," Quaderni del Dipartimento di Economia, Finanza e Statistica 70/2009, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  18. Roberto Basile, 2009. "Productivity Polarization across Regions in Europe," International Regional Science Review, , vol. 32(1), pages 92-115, January.
  19. Marcello Signorelli, 2005. "Employment and policies in Europe: a regional perspective," Quaderni del Dipartimento di Economia, Finanza e Statistica 05/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  20. Giuseppe Arbia & Michele Battisti & Gianfranco Di Vaio, 2009. "Institutions and geography: Empirical test of spatial growth models for European regions," Quaderni del Dipartimento di Economia, Finanza e Statistica 72/2009, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  21. Gaetano Martino & Cristiano Perugini, 2008. "Income inequality within European regions: determinants and effects on growth," Quaderni del Dipartimento di Economia, Finanza e Statistica 52/2008, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  22. Carlo Andrea Bollino & Paolo Polinori, 2005. "Gli incentivi agli investimenti: un’analisi dell’efficienza industriale su scala geografica regionale e sub regionale," Quaderni del Dipartimento di Economia, Finanza e Statistica 16/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  23. Simona Bigerna & Paolo Polinori, 2010. "Ambiente operativo ed efficienza nel settore del trasporto pubblico locale in Italia," SCIENZE REGIONALI, FrancoAngeli Editore, vol. 2010(3), pages 85-118.
  24. Basile, Roberto & Castellani, Davide & Zanfei, Antonello, 2008. "Location choices of multinational firms in Europe: The role of EU cohesion policy," Journal of International Economics, Elsevier, vol. 74(2), pages 328-340, March.
  25. Gaetano Martino & Paolo Polinori, 2007. "Contracting Food Safety Strategies in Hybrid Governance Structures," Quaderni del Dipartimento di Economia, Finanza e Statistica 40/2007, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  26. Ledoit, Oliver & Wolf, Michael, 2008. "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
  27. Luca Pieroni & Fabrizio Pompei, 2005. "Investimenti diretti esteri e innovazione in Umbria," Quaderni del Dipartimento di Economia, Finanza e Statistica 14/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  28. Davide Castellani & Fabio Pieri, 2010. "The Effect of Foreign Investments on European Regional Productivity," Quaderni del Dipartimento di Economia, Finanza e Statistica 74/2010, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  29. Cristiano Perugini, 2008. "Employment Intensity of Growth in Italy A Note Using Regional Data," Quaderni del Dipartimento di Economia, Finanza e Statistica 55/2008, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  30. Cristiano Perugini & Fabrizio Pompei, 2008. "Technological Change, Labour Demand and Income Distribution in European Union Countries," Quaderni del Dipartimento di Economia, Finanza e Statistica 56/2008, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  31. Cristiano Perugini & Marcello Signorelli, 2005. "Employment Differences, Convergences and Similarities in Italian Provinces," Quaderni del Dipartimento di Economia, Finanza e Statistica 07/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  32. Leonardo Becchetti & Stefano Castriota & Elena Giachin Ricca, 2010. "Beyond the Joneses: inter-country income comparisons and happiness," Quaderni del Dipartimento di Economia, Finanza e Statistica 82/2010, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  33. Boschi, Melisso & Pieroni, Luca, 2009. "Aluminium market and the macroeconomy," Journal of Policy Modeling, Elsevier, vol. 31(2), pages 189-207.
  34. Simona Bigerna & Paolo Polinori, 2008. "The willingness to pay for Renewable Energy Sources (RES): the case of Italy with different survey approaches and under different EU “climate vision”. First results," Quaderni del Dipartimento di Economia, Finanza e Statistica 58/2008, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  35. Luca Pieroni & Matteo Ricciarelli, 2005. "Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence," Quaderni del Dipartimento di Economia, Finanza e Statistica 11/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  36. Marcello Signorelli, 2005. "Growth and employment: comparative performance, convergences and co-movements," Quaderni del Dipartimento di Economia, Finanza e Statistica 08/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  37. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  38. Bruno Bracalente & Cristiano Perugini & Fabrizio Pompei, 2008. "Homogeneous, Urban Heterogeneous, or both? External Economies and Regional Manufacturing Productivity in Europe," Quaderni del Dipartimento di Economia, Finanza e Statistica 51/2008, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  39. Luca Pieroni & Fabrizio Pompei, 2007. "Evaluating Innovation and Labour Market Relationships: The Case of Italy," Quaderni del Dipartimento di Economia, Finanza e Statistica 28/2007, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  40. Davide Castellani & Fabio Pieri, 2011. "Foreign Investments and Productivity Evidence from European Regions," Quaderni del Dipartimento di Economia, Finanza e Statistica 83/2011, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  41. Antonela Finizia & Riccardo Magnani & Federico Perali & Paolo Polinori & Cristina Salvioni, 2005. "Construction and Simulation of the General Economic Equilibrium Model Meg-Ismea for the Italian Economy," Quaderni del Dipartimento di Economia, Finanza e Statistica 17/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  42. Frans A. de Roon, 2001. "Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 721-742, 04.
  43. Slawomir Bukowski, 2008. "On the road to the euro zone. Currency rate stabilization: experiences of the selected EU countries," Quaderni del Dipartimento di Economia, Finanza e Statistica 50/2008, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  44. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  45. Slawomir I. BUKOWSKI, 2006. "The Maastricht convergence criteria and economic growth in the EMU," Quaderni del Dipartimento di Economia, Finanza e Statistica 24/2006, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  46. Dario Sciulli & Marcello Signorelli, 2010. "University-to-work transitions: the case of Perugia," Quaderni del Dipartimento di Economia, Finanza e Statistica 77/2010, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  47. Huberman, Gur & Kandel, Shmuel, 1987. " Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-88, September.
  48. Misbah Tanveer Choudhry & Enrico Marelli & Marcello Signorelli, 2010. "The Impact of Financial Crises on Youth Unemployment Rate," Quaderni del Dipartimento di Economia, Finanza e Statistica 79/2010, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  49. Silvia Micheli, 2010. "Learning Curve and Wind Power," Quaderni del Dipartimento di Economia, Finanza e Statistica 81/2010, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  50. Floro Ernesto Caroleo & Francesco Pastore, 2007. "The Youth Experience Gap: Explaining Differences across EU Countries," Quaderni del Dipartimento di Economia, Finanza e Statistica 41/2007, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  51. David Aristei & Luca Pieroni, 2005. "Estimating the Role of Government Expenditure in Long-run Consumption," Quaderni del Dipartimento di Economia, Finanza e Statistica 13/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Francesco Venturini, 2011. "Product variety, product quality, and evidence of Schumpeterian endogenous growth: a note," Quaderni del Dipartimento di Economia, Finanza e Statistica 93/2011, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  2. Damiani, Mirella & Pompei, Fabrizio & Ricci, Andrea, 2011. "Temporary job protection and productivity growth in EU economies," MPRA Paper 29698, University Library of Munich, Germany.
  3. Marco Nicolosi & Stefano Grassi & Elena Stanghellini, 2011. "How to measure Corporate Social Responsibility," Quaderni del Dipartimento di Economia, Finanza e Statistica 96/2011, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  4. Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2013. "The impact of a sustainability constraint on the mean-tracking error efficient frontier," Economics Letters, Elsevier, vol. 119(3), pages 255-260.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pia:wpaper:84/2011. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ubaldo Pizzoli).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.