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2012-03-07Diskussionspapier DOI: 10.18452/4398
Is socially responsible investing just screening?
dc.contributor.authorHirschberger, Markus
dc.contributor.authorSteuer, Ralph E.
dc.contributor.authorUtz, Sebastian
dc.contributor.authorWimmer, Maximilian
dc.date.accessioned2017-06-16T00:38:08Z
dc.date.available2017-06-16T00:38:08Z
dc.date.created2012-03-16
dc.date.issued2012-03-07
dc.date.submitted2012-03-07
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5050
dc.description.abstractThis paper presents the results of an empirical study concerning conventional and socially responsible mutual funds.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we cannot find strong evidence of differences between conventional and socially responsible mutual funds. In particular, the calculated risk tolerance parameters describing the real portfolio composition best show that socially responsible mutual funds may be even less concerned about the ESG-scores in the preference functional than conventional funds.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectSocially Responsible Investingeng
dc.subjectInverse Portfolio Selectioneng
dc.subject.ddc330 Wirtschaft
dc.titleIs socially responsible investing just screening?
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100200537
dc.identifier.doihttp://dx.doi.org/10.18452/4398
local.edoc.pages14
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2012
dc.title.subtitleEvidence from mutual funds
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2012,25

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