DEA Portfolio Modeling - The Case of Socially Responsible Investing

Description

In this paper, we expand the literature on multi-criteria portfolio modeling for
social responsible investments using multi-directional effciency analysis (MEA). We apply a positive screening according to MEA effciency scores, but also exploit the information contained in the effciency score directly (effciency-weighting) in order to compute portfolio weights. The broad empirical analysis is based on public equity market data of social resonsible investments from the USA going back to 2005. We fnd that a consideration of a social variable in the MEA improves fnancial and social performance. The effciency-weighted portfolios yield superior fnancial performance compared to the other proposed models. A combination of positive screening and effciency-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.

Period	15 Nov 2017 → 18 Nov 2017
Event title	Southern Finance Association
Event type	Unknown
Degree of Recognition	International