The impact of a sustainability constraint on the mean-tracking error efficient frontier

K.M.R. Boudt, J. Cornelissen, C. Croux

Research output: Contribution to JournalArticleAcademicpeer-review

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 languageEnglish
Pages (from-to)255-260
JournalEconomics Letters
Volume119
DOIs
Publication statusPublished - 2013

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