Efficiency of socially responsible investments in the context of portfolio management
This paper examines multi-directional efficiency analysis for sustainable portfolio management integrating ESG metrics to improve financial and social performance.
What it examines
This paper proposes using multi-directional efficiency analysis (MEA) to integrate financial and ESG data into portfolio management. It addresses socially responsible investing by combining asset selection and allocation methods, aiming to create portfolios that balance financial returns and social responsibility through novel efficiency-based strategies.
What it concludes
The study shows that including ESG measures in MEA improves both financial and social performance. The findings offer alternative portfolio strategies for socially responsible and conventional investors, with potential applications in sustainable investment choices. Future research is recommended on refining MEA models and exploring further ESG integration for enhanced decision-making.
Evidence objects
Integrating multi-directional efficiency analysis (MEA) into portfolio management yields both robust financial returns and enhanced sustainability, outperforming mean-variance, naive, and value-weighted benchmarks in US and European equities over a decade.
key_findings bullet 1 · key_findings · validation V0
Embedding ESG scores with efficiency metrics reliably promotes social responsibility, boosts financial outcomes, and supports a dynamic efficiencybased allocation framework, adapting to shifting market conditions and comprehensive data insights remarkably.
key_findings bullet 2 · key_findings · validation V0
Novel efficiencyweighting and efficiencyscreening strategies, validated by rigorous linear programming and regression analyses over 41,000 observations and 4,000 rebalancings, reveal tradeoffs including high turnover costs and notable screening limitations overall.
key_findings bullet 3 · key_findings · validation V0
This paper introduces an original multi-directional efficiency analysis approach integrating both financial and $ESG$ factors to optimize socially responsible investments. Its novel methodology contrasts traditional DEA and mean-variance strategies, offering fresh insights for portfolio management. The work is compelling, relevant, and impactful, significantly advancing sustainable investing analytics with substantial innovation.
key_findings bullet 4 · key_findings · validation V0
Raw abstract and provenance
- … efficiency-based portfolio management process, which … ) in the complete portfolio management process of asset … the context of portfolio management with particular focus …
Source row: 676 · abstract type: snippet