Red de Bibliotecas Virtuales de Ciencias Sociales en
América Latina y el Caribe
Por favor, use este identificador para citar o enlazar este ítem:
https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/230372Registro completo de metadatos
| Campo DC | Valor | Lengua/Idioma |
|---|---|---|
| dc.creator | Zapata Q., Carlos Andrés | - |
| dc.date | 2022-12-14 | - |
| dc.date.accessioned | 2023-03-27T17:38:32Z | - |
| dc.date.available | 2023-03-27T17:38:32Z | - |
| dc.identifier | https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489 | - |
| dc.identifier | 10.18601/17941113.n21.04 | - |
| dc.identifier.uri | https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/230372 | - |
| dc.description | This paper presents an approach for socially responsible investment portfolio selection through the incorporation of ESG criteria: environment (A), social (S) and of good governance (G); to the Markowitz’s mean-variance (MV) model. For that, different formulations of the MV optimization problem are revised, as well as its adjustment to incorporate these indicators in the construction and optimization of the portfolio. This new approach, known as the MV-ESG model, allows the construction of a complete set of feasible optimal portfolios based on the three relationships: return, risk and the ESG score; resulting in an efficient surface (ES) on a three-dimensional space. Results show that the achievement of an increasingly higher ESG indicator not only reduces the performance of the portfolio with respect to the MV portfolio, but also reduces its risk diversification capacity. However, the fact that the incorporation of ESG criteria allows investors to incorporate their preferences to minimize the social and environmental impact of their investments is highlighted, since the optimal ESG portfolio generates better indicators than any portfolio that pursue only the optimal risk-return ratio, in addition to outperforming the benchmark. | en-US |
| dc.description | En este trabajo se presenta un enfoque de selección de portafolios óptimos socialmente responsables, a través de la incorporación de los criterios ASG –ambiente (A), social (S) y de buen gobierno (G)– al modelo media-varianza (MV) de Markowitz. Para ello, se revisan algunas formulaciones del problema de optimización MV, así como su ajuste, para incorporar estos indicadores en la construcción y optimización del portafolio. Este nuevo enfoque, conocido como modelo MV-ASG, permite la construcción de un conjunto completo de portafolios óptimos factibles a partir de las tres relaciones: retorno, riesgo e indicador ASG, que dan como resultado una superficie eficiente (SE) en un plano tridimensional. Los resultados muestran que la consecución de un indicador ASG cada vez mayor, no solo reduce el desempeño del portafolio respecto al portafolio MV, sino que disminuye su capacidad de diversificación del riesgo. Sin embargo, se resalta el hecho de que la incorporación de los criterios ASG les permite a los inversionistas incorporar sus preferencias para minimizar el impacto social y ambiental de sus inversiones, ya que el portafolio óptimo MV-ASG genera mejores indicadores que cualquier portafolio que persiga solo la relación óptima retorno-riesgo, además de superar el desempeño del benchmark. | es-ES |
| dc.format | application/pdf | - |
| dc.language | spa | - |
| dc.publisher | Universidad Externado de Colombia | es-ES |
| dc.relation | https://revistas.uexternado.edu.co/index.php/odeon/article/view/8489/13077 | - |
| dc.relation | /*ref*/Acuerdo de París (2015). United Nations framework convention on climate change. https://unfccc.int/sites/default/files/english_paris_agreement.pdf | - |
| dc.relation | /*ref*/Alessandrini, F. y Jondeau, E. (2021). Optimal strategies for ESG portfolios. The Journal of Portfolio Management, 47(6), 114-138. https://doi.org/10.3905/jpm.2021.1.241 | - |
| dc.relation | /*ref*/Ballestero, E., Bravo, M., Pérez-Gladish, B., Arenas-Parra, M. y Pla-Santamaría, D. (2012). Socially responsible investment: A multicriteria approach to portfolio selection combining ethical and financial objectives. European Journal of Ope¬rational Research, 216(2), 487-494. https://doi.org/10.1016/j.ejor.2011.07.011 | - |
| dc.relation | /*ref*/Bender, J., He, C., Ooi, C., y Sun, X. (2020). Reducing the Carbon Intensity of Low Volatility Portfolios. Journal of Portfolio Management, 46(3), 108-22. https://doi. org/10.3905/jpm.2020.46.3.108 | - |
| dc.relation | /*ref*/Branch, M., Goldberg, L. y Hand, P. (2019). A guide to ESG portfolio construction. The Journal of Portfolio Management, 45(4), 61-66. https://doi.org/10.3905/ jpm.2019.45.4.061 | - |
| dc.relation | /*ref*/Caballero, A., Garcia, A., Salcedo, J. y Vercher, M. (2020). Tri-criterion model for cons-tructing low-carbon mutual fund portfolios: A preference-based multi-objective genetic algorithm approach. International Journal of Environmental Research and Public Health, 17(17), 6324. https://doi.org/10.3390/ijerph17176324 | - |
| dc.relation | /*ref*/Calvo, C., Ivorra, C. y Liern, V. (2015). Finding socially responsible portfolios close to conventional ones. International Review of Financial Analysis, 40, 52-63. https:// doi.org/10.1016/j.irfa.2015.03.014 | - |
| dc.relation | /*ref*/Cesarone, F., Martino, M. y Carleo, A. (2022). Does ESG impact really enhance port¬folio profitability? Sustainability, 14(4), 2050. https://doi.org/10.3390/su14042050 | - |
| dc.relation | /*ref*/Chen, L., Zhang, L., Huang, J., Xiao, H. y Zhou, Z. (2021). Social responsibility port¬folio optimization incorporating ESG criteria. Journal of Management Science and Engineering, 6(1), 75-85. https://doi.org/10.1016/j.jmse.2021.02.005 | - |
| dc.relation | /*ref*/Coqueret, G. (2022). Perspectives in sustainable equity investing. CRC Press. | - |
| dc.relation | /*ref*/De Spiegeleer, J., Höcht, S., Jakubowski, D., Reyners, S. y Schoutens, W. (2021). esg: A new dimension in portfolio allocation. Journal of Sustainable Finance & In¬vestment, 1-41. https://doi.org/10.1080/20430795.2021.1923336 | - |
| dc.relation | /*ref*/Fabozzi, F., Kolm, P., Pachamanova, D. y Focardi, S. (2007). Robust Portfolio Opti¬mization and Management. John Wiley & Sons. | - |
| dc.relation | /*ref*/Francis, C. J. y Kim, D. (2013). Modern Portfolio Theory: Foundation, Analysis, and New Developments. Wiley Finance. | - |
| dc.relation | /*ref*/Gasser, S. M., Rammerstorfer, M. y Weinmayer, K. (2017). Markowitz revisited: Social portfolio engineering. European Journal of Operational Research, 258(3), 1181- 1190. https://doi.org/10.1016/j.ejor.2016.10.043 | - |
| dc.relation | /*ref*/Gil-Bazo, J., Ruiz-Verdú, P. y Santos, A. A. (2010). The performance of socially res-ponsible mutual funds: The role of fees and management companies. Journal of Business Ethics, 94(2), 243-263. https://doi.org/10.1007/s10551-009-0260-4 | - |
| dc.relation | /*ref*/Hartzmark, S. M. y Sussman, A. B. (2019). Do investors value sustainability? A natural experiment examining ranking and fund flows. The Journal of Finance, 74(6), 2789-2837. https://doi.org/10.1111/jofi.12841 | - |
| dc.relation | /*ref*/Henke, H. M. (2016). The effect of social screening on bond mutual fund perfor¬mance. Journal of Banking & Finance, 67(1), 69-84. https://doi.org/10.1016/j. jbankfin.2016.01.010 | - |
| dc.relation | /*ref*/Henriksson, R., Livnat, J., Pfeifer, P. y Stumpp, M. (2019). Integrating esg in portfolio construction. The Journal of Portfolio Management, 45(4), 67-81. https://doi. org/10.3905/jpm.2019.45.4.067 | - |
| dc.relation | /*ref*/Hirschberger, M., Steuer, R. E., Utz, S., Wimmer, M. y Qi, Y. (2013). Computing the nondominated surface in tri-criterion portfolio selection. Operations Research, 61(1), 169-183. https://doi.org/10.1287/opre.1120.1140 | - |
| dc.relation | /*ref*/Kolm, P., Tütüncü, R. y Fabozzi, F. (2014). 60 Years of portfolio optimization: Prac¬tical challenges and current trends. European Journal of Operational Research, 234(2), 356-371. https://doi.org/10.1016/j.ejor.2013.10.060 | - |
| dc.relation | /*ref*/Lagerkvist, C. J., Edenbrandt, A. K., Tibbelin, I. y Wahlstedt, Y. (2020). Preferences for sustainable and responsible equity funds-A choice experiment with Swedish private investors. Journal of Behavioral and Experimental Finance, 28(1), 100406. https://doi.org/10.1016/j.jbef.2020.100406 | - |
| dc.relation | /*ref*/Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77–91. | - |
| dc.relation | /*ref*/Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. Wiley. | - |
| dc.relation | /*ref*/Naffa, H. y Fain, M. (2022). A factor approach to the performance of esg leaders and laggards. Finance Research Letters, 44(1), 102073. https://doi.org/10.1016/j. frl.2021.102073 | - |
| dc.relation | /*ref*/Nofsinger, J. y Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48(1), 180-193. https://doi.org/10.1016/j.jbankfin.2013.12.016 | - |
| dc.relation | /*ref*/Ortas, E., Moneva, J. M., Burritt, R. y Tingey-Holyoak, J. (2014). Does sustainability investment provide adaptive resilience to ethical investors? Evidence from Spain. Journal of Business Ethics, 124(2), 297-309. https://doi.org/10.1007/s10551-013- 1873-1 | - |
| dc.relation | /*ref*/Pedersen, L. H., Fitzgibbons, S. y Pomorski, L. (2021). Responsible investing: The esg-efficient frontier. Journal of Financial Economics, 142(2), 572-597. https:// doi.org/10.1016/j.jfineco.2020.11.001 | - |
| dc.relation | /*ref*/Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964. tb02865.x | - |
| dc.relation | /*ref*/Utz, S., Wimmer, M., Hirschberger, M., y Steuer, R. (2014). Tri-criterion inverse port¬folio optimization with application to socially responsible mutual funds. Euro¬pean Journal of Operational Research, 234(2), 491-498. https://doi.org/10.1016/j. ejor.2013.07.024 | - |
| dc.rights | Derechos de autor 2022 Carlos Andrés Zapata Q. | es-ES |
| dc.rights | http://creativecommons.org/licenses/by-nc-sa/4.0 | es-ES |
| dc.source | Odeon; No. 21 (2021): Julio-Diciembre; 55-79 | en-US |
| dc.source | Revista ODEON; Núm. 21 (2021): Julio-Diciembre; 55-79 | es-ES |
| dc.source | 2346-2140 | - |
| dc.source | 1794-1113 | - |
| dc.subject | optimal portfolio; | en-US |
| dc.subject | ESG criteria; | en-US |
| dc.subject | socially responsible investment | en-US |
| dc.subject | portafolio óptimo; | es-ES |
| dc.subject | criterios ASG; | es-ES |
| dc.subject | inversión socialmente responsable | es-ES |
| dc.title | Mean-Variance Model and ESG criteria: From Markowitz to the socially responsible portfolio | en-US |
| dc.title | Modelo Media-Varianza y criterios ASG: de Markowitz al portafolio socialmente responsable | es-ES |
| dc.type | info:eu-repo/semantics/article | - |
| dc.type | info:eu-repo/semantics/publishedVersion | - |
| Aparece en las colecciones: | Centro de Investigaciones y Proyectos Especiales - CIPE/UEXTERNADO - Cosecha | |
Ficheros en este ítem:
No hay ficheros asociados a este ítem.
Los ítems de DSpace están protegidos por copyright, con todos los derechos reservados, a menos que se indique lo contrario.