The impact of a sustainability constraint on the mean-tracking error efficient frontier

Kris Boudt, Jonathan Cornelissen and Christophe Croux

Economics Letters, 2013, vol. 119, issue 3, 255-260

Abstract: Most socially responsible investment funds combine a sustainability objective with a tracking error constraint. We characterize the impact of a sustainability constraint on the mean-tracking error efficient frontier and illustrate this on a universe of US stocks for the period 2003–2010.

Keywords: Mean-tracking error optimization; Portfolio optimization; Socially responsible investment; Sustainability (search for similar items in EconPapers)
JEL-codes: G11 G14 G20 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:119:y:2013:i:3:p:255-260

DOI: 10.1016/j.econlet.2013.03.020

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