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.
AuthorsBiasin, M., Cerqueti, R., Giacomini, E., Marinelli, N., Quaranta, A.G. and Riccetti, L.
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.

Year2019
JournalSustainability
Journal citation11 (11), pp. 3140-3140
PublisherMDPI AG
ISSN2071-1050
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
Online04 Jun 2019
Publication process dates
Accepted28 May 2019
Deposited11 Feb 2020
Publisher's version
License
CC BY 4.0
File Access Level
Open
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https://openresearch.lsbu.ac.uk/item/8906v

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