Sovereign bonds and socially responsible investmentULB Institutional Repository from ULB -- Universite Libre de Bruxelles Abstract: This article investigates how the mean- variance efficient frontier defined by sovereign bonds of 20 developed countries is affected by the consideration of socially responsible indicators for countries in investment decision-making. For a global rating of socially responsible performances, we show that it is possible to build portfolios with an increased average rating without significantly harming the risk/return relationship. This result differs when considering sub-ratings related to the environment, social concerns and public governance. The results are good news for responsible investors and suggest that socially responsible portfolios of sovereign bonds can be built without a significant loss of mean-variance efficiency. © Springer 2010. Keywords: Extra-financial ratings; Mean-variance efficiency; Portfolio selection; Responsible investing; Socially responsible investment; Sovereign bonds; Spanning tests (search for similar items in EconPapers) Published in: Journal of business ethics (2010) v.92 n° SUPPL 1,p.131-145 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ulb:ulbeco:2013/192788 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in ULB Institutional Repository from ULB -- Universite Libre de Bruxelles Contact information at EDIRC. |
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