DEA Portfolio Modeling - The Case of Socially Responsible Investing

28 Pages Posted: 22 Aug 2016 Last revised: 24 Jan 2018

See all articles by Stephan Gasser

Stephan Gasser

Vienna University of Economics and Business - Institute for Finance, Banking and Insurance

Margarethe Rammerstorfer

Vienna University of Economics and Business - Department of Corporate Finance

Karl Weinmayer

Modul University Vienna - Department of International Management; Vienna University of Economics and Business - Institute for Finance, Banking and Insurance

Date Written: January 23, 2018

Abstract

In this paper, we expand the literature on multi-criteria portfolio modeling for social responsible investments using multi-directional efficiency analysis (MEA). We apply a positive screening according to MEA efficiency scores, but also exploit the information contained in the efficiency score directly (efficiency-weighting) in order to compute portfolio weights. The broad empirical analysis is based on public equity market data of social responsible investments from the USA going back to 2005. We find that a consideration of a social variable in the MEA improves financial and social performance. The efficiency-weighted portfolios yield superior financial performance compared to the other proposed models. A combination of positive screening and efficiency-weighting leads to the best social performance of all tested models. Overall, all models outperform a normal mean-variance portfolio and also do considerably well compared to the implemented benchmarks in general.

Keywords: Socially Responsible Investments, Portfolio Optimization, International Financial Markets

JEL Classification: G11, G15, A13

Suggested Citation

Gasser, Stephan and Rammerstorfer, Margarethe and Weinmayer, Karl, DEA Portfolio Modeling - The Case of Socially Responsible Investing (January 23, 2018). 29th Australasian Finance and Banking Conference 2016. Available at SSRN: https://ssrn.com/abstract=2826033 or http://dx.doi.org/10.2139/ssrn.2826033

Stephan Gasser

Vienna University of Economics and Business - Institute for Finance, Banking and Insurance ( email )

Welthandelsplatz 1
Building D4
Vienna, 1020
Austria
+43 1 31336 6245 (Phone)

HOME PAGE: http://https://www.wu.ac.at/finance/people/faculty/gasser/

Margarethe Rammerstorfer

Vienna University of Economics and Business - Department of Corporate Finance ( email )

Welthandelsplatz 1
1020 Vienna
Austria

Karl Weinmayer (Contact Author)

Modul University Vienna - Department of International Management ( email )

Am Kahlenberg 1
Vienna, 1190
Austria
+43-1-3203555-653 (Phone)

Vienna University of Economics and Business - Institute for Finance, Banking and Insurance ( email )

Welthandelsplatz 1
Building D4, 4th floor
Vienna, 1020
Austria

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