# Macro Asset Allocation with Social Impact Investments

Journal article

Biasin, M., Cerqueti, R., Giacomini, E., Marinelli, N., Quaranta, A.G. and Riccetti, L. (2019). Macro Asset Allocation with Social Impact Investments.

*Sustainability.*11 (11), pp. 3140-3140.

Authors | Biasin, M., Cerqueti, R., Giacomini, E., Marinelli, N., Quaranta, A.G. and Riccetti, L. |
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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. |

Year | 2019 |

Journal | Sustainability |

Journal citation | 11 (11), pp. 3140-3140 |

Publisher | MDPI AG |

ISSN | 2071-1050 |

Digital Object Identifier (DOI) | doi:https://www.doi.org/10.3390/su11113140 |

Web address (URL) | https://www.mdpi.com/2071-1050/11/11/3140 |

Publication dates | |

Online | 04 Jun 2019 |

Publication process dates | |

Accepted | 28 May 2019 |

Deposited | 11 Feb 2020 |

Publisher's version | License CC BY 4.0 File Access Level Open |

https://openresearch.lsbu.ac.uk/item/8906v

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