Optimal choices among ethic assets of the Italian market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10240981" target="_blank" >RIV/61989100:27510/17:10240981 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Optimal choices among ethic assets of the Italian market
Original language description
In this paper, we explore and examine the performance of Italian socially responsible investments (SRI). In particular, we use different portfolio strategies to evaluate the financial performance of the Italian SRI. In this context, we propose a new portfolio strategy that maximizes the Sharpe ratio under the third-order stochastic dominance constraints. Applying the portfolio optimization methods to the Italian ethical funds/indexes, we are able to answer several questions that arise with SRI opportunities. Initial empirical results from Italian market are in contrast with the corporate social responsibility (CSR) theory conclusion, which confirms that SRI are performing much better than their conventional counterparts. This may well be linked to the characteristics and the peculiarity of the Italian market, e.g. recentness and dimensionality. The proposed empirical analysis allows us to understand the complexity and dynamics of the Italian SRI and to evaluate their performance.
Czech name
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Czech description
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Project
<a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics: MME 2017 : 35th international conference : conference proceedings : Hradec Králové, Czech Republic, September 13th-15th, 2017, University of Hradec Králové
ISBN
978-80-7435-678-0
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
354-359
Publisher name
Gaudeamus
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Sep 13, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000427151400061

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