Some effects on the efficient frontier of the investment strategy: a preliminary approach

• Autores: M. Paz Méndez Rodríguez, Ana García Bernabéu, Adolfo Hilario Caballero, Blanca María Pérez Gladish
• Localización: Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA, ISSN-e 1575-605X, Vol. 14, Nº. 2, 2013, págs. 131-145
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    En este trabajo presentamos un indicador del grado de responsabilidad social de los fondos de inversión. El indicador propuesto se basa en el número de filtros sociales aplicados por los gestores de los fondos y en la calidad de la información sobre el proceso de aplicación de los filtros. Una vez obtenido este indicador se incorpora como restricción en el modelo de optimización de Markowitz. Finalmente presentamos un experimento numérico mediante el que se pretende realizar una primera exploración de los efectos sobre la frontera eficiente de las distintas dimensiones de responsabilidad social y de las diferentes estrategias inversoras.

  • English

    In this work an indicator of the social responsibility degree of mutual funds is proposed based on the mutual fund�s screening policy and on the quality of the information provided by the fund manager. Once this indicator is obtained it is included as a constraint in the mean-variance classical optimization model. An exploratory numerical experiment is presented in order to check the possible effect on the efficient frontier of different SRI strategies.

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