The impact of a sustainability constraint on the mean-tracking error efficient frontier

Most socially responsible investment funds combine a sustainability objective with a tracking error constraint. We characterize the impact of a sustainability constraint on the mean-tracking error efficient frontier and illustrate this on a universe of US stocks for the period 2003–2010.

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Year of publication:	2013
Authors:	Boudt, Kris ; Cornelissen, Jonathan ; Croux, Christophe
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 119.2013, 3, p. 255-260
Publisher:	Elsevier
Subject:	Mean-tracking error optimization \| Portfolio optimization \| Socially responsible investment \| Sustainability

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Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; G20 - Financial Institutions and Services. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010664123