Macro Asset Allocation with Social Impact Investments

Massimo Biasin, Roy Cerqueti, Emanuela Giacomini, Nicoletta Marinelli, Anna Grazia Quaranta and Luca Riccetti
Additional contact information
Massimo Biasin: Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy
Emanuela Giacomini: Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy
Anna Grazia Quaranta: Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy

Sustainability, 2019, vol. 11, issue 11, 1-19

Abstract: 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 (naïve, 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’ stake committed to social impact investments.

Keywords: social impact investments; asset allocation; portfolio diversification; out-of-sample performance; market index (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://www.mdpi.com/2071-1050/11/11/3140/pdf (application/pdf)
https://www.mdpi.com/2071-1050/11/11/3140/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:11:y:2019:i:11:p:3140-:d:237010

Access Statistics for this article

Sustainability is currently edited by Ms. Alexandra Wu

More articles in Sustainability from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().