Macro Asset Allocation with Social Impact Investments
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.|
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.
|Journal citation||11 (11), pp. 3140-3140|
|Digital Object Identifier (DOI)||doi:https://www.doi.org/10.3390/su11113140|
|Web address (URL)||https://www.mdpi.com/2071-1050/11/11/3140|
|Online||04 Jun 2019|
|Publication process dates|
|Accepted||28 May 2019|
|Deposited||11 Feb 2020|
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