Optimal choices among ethic assets of the Italian market

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Optimal choices among ethic assets of the Italian market

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Optimal choices among ethic assets of the Italian market

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA17-19981S" target="_blank" >GA17-19981S: Finanční aplikace stochastického uspořádání</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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

Počet stran výsledku

6

Strana od-do

354-359

Název nakladatele

Gaudeamus

Místo vydání

Hradec Králové

Místo konání akce

Hradec Králové

Datum konání akce

13. 9. 2017

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000427151400061