Nice but cautious guys: The cost of responsible investing in the bond markets
The aim of this paper is to measure the cost of investing responsibly for different risk aversion levels by taking the example of green sovereign bond portfolios. We show that for developed markets, the cost of being a nice guy is lower if you are cautious (i.e. a higher level of risk aversion) while this is the contrary for emerging markets. It implies that managers of Socially Responsible Investment (SRI) funds should gauge investor’s risk aversion prior to evaluating the “SRI cost”. The SRI cost is zero in some cases.
|Date of creation:||2009|
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- Best, Michael J. & Grauer, Robert R., 1990. "The efficient set mathematics when mean-variance problems are subject to general linear constraints," Journal of Economics and Business, Elsevier, vol. 42(2), pages 105-120, May.
- Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Portfolio selection with a drawdown constraint," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3171-3189, November.
- Bastien Drut, 2009.
"Sovereign Bonds and Socially Responsible Investment,"
Working Papers CEB
09-014.RS, ULB -- Universite Libre de Bruxelles.
- Bastien Drut, 2010. "Sovereign Bonds and Socially Responsible Investment," Journal of Business Ethics, Springer, vol. 92(1), pages 131-145, April.
- Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," EconomiX Working Papers 2009-17, University of Paris West - Nanterre la Défense, EconomiX.
- Michael J. Best & Robert R. Grauer, 1991. "Sensitivity Analysis for Mean-Variance Portfolio Problems," Management Science, INFORMS, vol. 37(8), pages 980-989, August.
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