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. © 2013 Elsevier B.V.
Original language | English |
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Pages (from-to) | 255-260 |
Journal | Economics Letters |
Volume | 119 |
DOIs | |
Publication status | Published - 2013 |