An Actual Case of SRI Financial Portfolio Choice by MV-SGP

Enrique Ballestero, Ana Garcia-Bernabeu (), David Pla-Santamaria () and Mila Bravo ()
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Enrique Ballestero: Universitat Politècnica de València
Ana Garcia-Bernabeu: Universitat Politècnica de València
David Pla-Santamaria: Universitat Politècnica de València
Mila Bravo: Universitat Politècnica de València

Chapter Chapter 7 in Socially Responsible Investment, 2015, pp 143-152 from Springer

Abstract: Abstract An illustrative example of ethical financial portfolio selection by MV-SGP model is developed through tables and numerical statements. Empirical data are real wide observations coming from international sources. This includes an opportunity set of 80 funds with historical series of weekly returns on the funds and SRI achievement indexes over 5 years time horizon. On this actual database, mean values vectors and covariance matrices are computed as a previous step required to formulate the objective function and constraints of the model. Since the computational structure of MV-SGP is the same as the computational structure of Markowitz-MV, the model is solved by using a Markowitz software application. The results are tabulated and discussed.

Keywords: Mutual Fund; Socially Responsible Investment; Efficient Frontier; Responsible Investment; Portfolio Weight (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-11836-9_7

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DOI: 10.1007/978-3-319-11836-9_7

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