Utz, Sebastian and Wimmer, Maximilian and Steuer, Ralph E. (2015) Tr-criterion modeling for constructing more-sustainable mutual funds. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 246 (1). pp. 331-338. ISSN 0377-2217, 1872-6860
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One of the most important factors shaping world outcomes is where investment dollars are placed. In this regard, there is the rapidly growing area called sustainable investing where environmental, social, and corporate governance (ESG) measures are taken into account. With people interested in this type of investing rarely able to gain exposure to the area other than through a mutual fund, we study a cross section of U.S. mutual funds to assess the extent to which ESG measures are embedded in their portfolios. Our methodology makes heavy use of points on the nondominated surfaces of many tri-criterion portfolio selection problems in which sustainability is modeled, after risk and return, as a third criterion. With the mutual funds acting as a filter, the question is: How effective is the sustainable mutual fund industry in carrying out its charge? Our findings are that the industry has substantial leeway to increase the sustainability quotients of its portfolios at even no cost to risk and return, thus implying that the funds are unnecessarily falling short on the reasons why investors are investing in these funds in the first place. (C) 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | PORTFOLIO SELECTION; Socially responsible investing; Multiple criteria optimization; Portfolio selection; Nondominated surfaces; Quadratically constrained linear programs |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 07 Jun 2019 07:23 |
| Last Modified: | 07 Jun 2019 07:23 |
| URI: | https://pred.uni-regensburg.de/id/eprint/4806 |
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