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Open AccessArticle

Macro Asset Allocation with Social Impact Investments

Economics and Law Department, University of Macerata, via Crescimbeni 14, 62100 Macerata, Italy
Author to whom correspondence should be addressed.
Sustainability 2019, 11(11), 3140;
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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Biasin, M.; Cerqueti, R.; Giacomini, E.; Marinelli, N.; Quaranta, A.G.; Riccetti, L. Macro Asset Allocation with Social Impact Investments. Sustainability 2019, 11, 3140.

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