Portfolio Selection for Socially Responsible Investment via Nonparametric Frontier Models
| Autor: | Cheolwoo Park, Kee Hoon Kang, Young Jae Ryu, Seok-Oh Jeong, Andrew Hoss |
|---|---|
| Rok vydání: | 2013 |
| Předmět: |
Statistics and Probability
Actuarial science Applied Mathematics Nonparametric statistics Convexity Frontier Socially responsible investment Modeling and Simulation Data envelopment analysis Economics Econometrics Portfolio Corporate social responsibility Statistics Probability and Uncertainty Finance Stock (geology) |
| Zdroj: | Communications for Statistical Applications and Methods. 20:115-127 |
| ISSN: | 2287-7843 |
| DOI: | 10.5351/csam.2013.20.2.115 |
| Popis: | This paper provides an effective stock portfolio screening tool for socially responsible investment (SRI) based upon corporate social responsibility (CSR) and financial performance. The proposed approach utilizes nonparametric frontier models. Data envelopment analysis (DEA) has been used to build SRI portfolios in a few previous works; however, we show that free disposal hull (FDH), a similar model that does not assume the convexity of the technology, yields superior results when applied to a stock universe of 253 Korean companies. Over a four-year time span (from 2006 to 2009) the portfolios selected by the proposed method consistently outperform those selected by DEA as well as the benchmark. |
| Databáze: | OpenAIRE |
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