Sustainable Index Tracking
Type
conference speech
Date Issued
2018
Author(s)
Abstract
We introduce a new methodology for modeling optimal institutional portfolios, and using this methodology, we report on results that combine the benefits of passive investing with the needs of socially responsible (SR) investors. Our methodology is based on the hypothesis that in SR investing, sustainability is a third criterion, and this causes the classical bi-criterion efficient frontier to become a tri-criterion efficient surface. Using this surface, in an empirical study, we estimate the costs resulting from adding a sustainability threshold to a passive index investment. Our findings are that by our implementation, the costs are marginal. One of the features of this paper is that we are able to show graphically exactly the theory that we are following and the empirics that we are carrying out.
Language
English
Event Title
Financial Implications of Sustainability and Corporate Social Responsibility
Event Location
Nizza
Event Date
22.06.2018
Subject(s)
Division(s)
Eprints ID
254539