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Article

Macro Asset Allocation with Social Impact Investments

Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy
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Sustainability 2019, 11(11), 3140; https://doi.org/10.3390/su11113140
Received: 19 April 2019 / Revised: 20 May 2019 / Accepted: 28 May 2019 / Published: 4 June 2019
(This article belongs to the Special Issue Social Impact Investments for a Sustainable Welfare State)
Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for social impact investments, we construct a social impact finance stock index and investigate how investing in social impact firms can contribute to portfolio risk-return performance. We build portfolios with three different methodologies (naïve, Markowitz mean-variance optimization, GARCH-copula model), and we study the performance in terms of returns, Sharpe ratio, utility, and forecast premium based on a constant relative risk aversion function for investors with different levels of risk aversion. Consistent with the idea that social impact investment can improve portfolio risk-return performance, the results of our macro asset allocation analysis show the importance of a large fraction of investor portfolios’ stake committed to social impact investments. View Full-Text
Keywords: social impact investments; asset allocation; portfolio diversification; out-of-sample performance; market index social impact investments; asset allocation; portfolio diversification; out-of-sample performance; market index
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MDPI and ACS Style

Biasin, M.; Cerqueti, R.; Giacomini, E.; Marinelli, N.; Quaranta, A.G.; Riccetti, L. Macro Asset Allocation with Social Impact Investments. Sustainability 2019, 11, 3140. https://doi.org/10.3390/su11113140

AMA Style

Biasin M, Cerqueti R, Giacomini E, Marinelli N, Quaranta AG, Riccetti L. Macro Asset Allocation with Social Impact Investments. Sustainability. 2019; 11(11):3140. https://doi.org/10.3390/su11113140

Chicago/Turabian Style

Biasin, Massimo, Roy Cerqueti, Emanuela Giacomini, Nicoletta Marinelli, Anna G. Quaranta, and Luca Riccetti. 2019. "Macro Asset Allocation with Social Impact Investments" Sustainability 11, no. 11: 3140. https://doi.org/10.3390/su11113140

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