Is socially responsible investing just screening? Evidence from mutual funds 1

Is socially responsible investing just screening? Evidence from mutual funds 1
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社会责任投资只是筛选吗？

DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
M. Wimmer
M. Wimmer
中科院分区：
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文献类型：
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作者：
M. Hirschberger;Ralph E. Steuer;Sebastian Utz;M. Wimmer

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本文介绍了一个关于传统的和社会责任的共同基金的实证研究的结果。我们应用复杂的运筹学算法嵌入在金融市场数据，ESG分数和CRSP基金数据的反向投资组合优化。由于我们的研究结果，我们无法找到强有力的证据，传统和社会责任的共同基金之间的差异。特别是，计算出的风险容忍度参数描述的真实的投资组合最好的显示，社会责任的共同基金可能更不关心的ESG分数的偏好功能比传统的基金。
This paper presents the results of an empirical study concerning conventional and socially responsible mutual funds. We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we cannot find strong evidence of di erences between conventional and socially responsible mutual funds. In particular, the calculated risk tolerance parameters describing the real portfolio composition best show that socially responsible mutual funds may be even less concerned about the ESG-scores in the preference functional than conventional funds.