Macro Asset Allocation with Social Impact Investments
| Autor: | Massimo Biasin, Emanuela Giacomini, Anna Grazia Quaranta, Nicoletta Marinelli, Roy Cerqueti, Luca Riccetti |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Settore SECS-P/11 - Economia degli Intermediari Finanziari
media_common.quotation_subject Geography Planning and Development Asset allocation TJ807-830 010501 environmental sciences Management Monitoring Policy and Law TD194-195 01 natural sciences Renewable energy sources asset allocation Microeconomics 0502 economics and business Economics GE1-350 Macro market index Function (engineering) 0105 earth and related environmental sciences media_common Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie portfolio diversification 050208 finance social impact investments out-of-sample performance Environmental effects of industries and plants Renewable Energy Sustainability and the Environment Risk aversion Sharpe ratio 05 social sciences Investment (macroeconomics) Stock market index Environmental sciences Portfolio |
| Zdroj: | Sustainability, Vol 11, Iss 11, p 3140 (2019) Sustainability Volume 11 Issue 11 |
| ISSN: | 2071-1050 |
| Popis: | Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for social impact investments, we construct a social impact finance stock index and investigate how investing in social impact firms can contribute to portfolio risk-return performance. We build portfolios with three different methodologies (naï ve, Markowitz mean-variance optimization, GARCH-copula model), and we study the performance in terms of returns, Sharpe ratio, utility, and forecast premium based on a constant relative risk aversion function for investors with different levels of risk aversion. Consistent with the idea that social impact investment can improve portfolio risk-return performance, the results of our macro asset allocation analysis show the importance of a large fraction of investor portfolios&rsquo stake committed to social impact investments. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|