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.

Macro Asset Allocation with Social Impact Investments

Biasin, Massimo;Giacomini, Emanuela;Marinelli, Nicoletta;Quaranta, Anna Grazia;Riccetti, Luca
2019-01-01

Abstract

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.
2019
MDPI
Internazionale
https://www.mdpi.com/2071-1050/11/11/3140
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11393/250001
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