Article ID Journal Published Year Pages File Type
5059761 Economics Letters 2013 6 Pages PDF
Abstract
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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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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The impact of a sustainability constraint on the mean-tracking error efficient frontier
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