Macro Asset Allocation with Social Impact Investments

Sustainability

Massimo Biasin¹  AnnaGrazia Quaranta¹  Emanuela Giacomini¹  Roy Cerqueti¹  Luca Riccetti¹  Nicoletta Marinelli¹ 

[1] Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy;

关键词: social impact investments;    asset allocation;    portfolio diversification;    out-of-sample performance;    market index;   

DOI  :  10.3390/su11113140

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown