what drives corporate social performance the role of nation level institutions based on whitley s national business systems nbs institutional framework we theorize about and empirically investigate the impact of nation level institutions on firms corporate social performance csp using a sample of firms from 42 countries spanning seven years we construct an annual composite csp index for each firm based on social and environmental metrics we find that the political system followed by the labor and education system and the cultural system are the most important nbs categories of institutions that impact csp interestingly the financial system appears to have a relatively less significant impact we discuss implications for research practice and policymaking

socially responsible investors and the microentrepreneur a canadian case socially responsible investors buy financial securities with two goals to make a market based return and to make companies act in a more socially responsible way most research on socially responsible investment deals with investing in stocks traded on major exchanges we add the case of loaning small amounts of funds to microentrepreneurs through a discussion of a particular case the case is that of calmeadow which in conjunction with the royal bank of canada set up a microlending project in rural nova scotia canada using hirschman s analysis of exit and voice we show that while socially responsible investors may make market based returns for their investments in stocks traded on major exchanges they have no effect on corporate behaviour because their action consists of exit and they are easily replaced by other investors they attain their first goal but not their second on the other hand in the calmeadow royal bank of canada case we see that those who lend money to microenterprises can more easily use voice the relative power difference between the lender and the microentrepreneur enables the lender to make the microentrepreneur act in a more socially responsible way although only marginally but because of the market imperfections existing in this case the very high transactions costs associated with administering small loans the lender concluded it could not attain a market rate of return in this case then the lender attained its second goal but not its first

multiattribute preference analysis with performance targets this paper develops an approach based on performance targets to assess a preference function for a multiobjective decision under uncertainty this approach yields preference functions that are strategically equivalent to conventional multiattribute utility functions but the target oriented approach is more natural for some classes of decisions in some situations the target oriented preference conditions are analogous to reliability theory conditions for series or parallel failure modes in a system in such cases reinterpreting the conditions using reliability concepts can be useful in assessing the preference function the target oriented approach is also a generalization of common forms of goal programming the approach has particular applicability for resource allocation decisions where the outcome of the decision is significantly determined by the actions of other stakeholders to the decision such as new product development or decision making in a controversial regulated environment

multi objective stochastic programming for portfolio selection abstract generally in the portfolio selection problem the decision maker dm considers simultaneously conflicting objectives such as rate of return liquidity and risk multi objective programming techniques such as goal programming gp and compromise programming cp are used to choose the portfolio best satisfying the dm s aspirations and preferences in this article we assume that the parameters associated with the objectives are random and normally distributed we propose a chance constrained compromise programming model cccp as a deterministic transformation to multi objective stochastic programming portfolio model cccp is based on cp and chance constrained programming ccp models the proposed program is illustrated by means of a portfolio selection problem from the tunisian stock exchange market

industrial pollution in economic development the environmental kuznets curve revisited abstract using new international data this paper tests the environmental kuznets curve ekc hypothesis for industrial water pollution we measure the effect of income growth on three determinants of pollution the share of industry in national output the share of polluting sectors in industrial output and end of pipe eop pollution intensities per unit of output in the polluting sectors we find that the industry share of national output follows a kuznets type trajectory but the other two determinants do not when combined our results imply rejection of the ekc hypothesis for industrial water pollution it rises rapidly through middle income status and remains roughly constant thereafter

constant and variable returns to scale dea models for socially responsible investment funds abstract in order to evaluate the performance of socially responsible investment sri funds we propose some models which use data envelopment analysis dea and can be computed in all phases of the business cycle these models focus on the most crucial elements of an investment in mutual funds in the literature both constant and variable returns to scale dea models have been used to evaluate the performance of mutual funds we carry out an empirical investigation on european sri equity funds to test the presence of returns to scale rts another aspect taken into account by the empirical investigation is the measurement of the degree of social responsibility of sri equity funds in various european countries in addition we analyse the performance of the funds considered with the different dea models proposed which differ in the way the ethical objective is taken into account moreover the paper focuses on another crucial issue regarding socially responsible investing the comparison of the performances between sri and non sri funds the empirical study suggests that the ethical objective can be pursued without having to renounce financial rewards

ethical investment processes and outcomes there is a growing body of literature on ethical or socially responsible investment across a range of disciplines this paper highlights the key themes in the field and identifies some of the major theoretical and practical challenges facing both scholars and practitioners one of these challenges is understanding better the complexity of the relationship between such investment practices and corporate behaviour noting that ethical investment is seldom characterised by agreement about what it actully constitutes and that much of the extant research focuses on a narrow set of issues the paper argues that there are benefits associated with examining ethical investment as a process

putting sustainable investing into practice a governance framework for pension funds this article presents a framework intended to provide pension funds with practical guidance for the successful implementation of a sustainable investing strategy the framework is developed with respect to the uk and us pension funds as these share certain common legal characteristics and focuses on the changes that pension funds adopting such a strategy should make to their investment strategies and governance particularly through the formulation and articulation of clear investment mission and strong investment beliefs the article proceeds with a review of socially responsible investment sri and more recent responsible investment ri literature in the context of growing public awareness but not necessarily understanding of the concept of sustainability literature review of sri field sri ri and sustainable investing section it then examines the literature on pension fund governance arguing the need for more detailed practical guidance for funds moving towards sustainable investing especially for those implementing a sustainable investing strategy anglo american pension fund governance section it presents the framework for the practical implementation of sustainable investing in the sustainable investing framework section finally we review the relevant anglo american legal backdrop outlining how pension funds adopting our framework should approach their fiduciary obligations and then discussing potential regulatory enablers of sustainable investment legal context barriers to and enablers of sustainable investing section

ipssis an integrated multicriteria decision support system for equity portfolio construction and selection abstract a fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria corresponding to the first two moments of return distributions namely the expected return and portfolio variance according to this model and according to most of the portfolio models derived from the stochastic dominance approach the group of portfolios open to comparisons is divided into two parts on the one hand there are the efficient portfolios those that are not dominated by any other portfolio in the group and on the other those that are dominated in other words these models do not solve for one optimal portfolio but rather solve for an efficient set of portfolios among which the investor must choose given his preference system one criticism over these models which has often been addressed both by practitioners and academics is that they fail to embody the objectives of the decision maker dm through the various stages of the decision process our purpose in this article is to present an integrated and innovative methodological approach for the construction and selection of equity portfolios which will take into account the inherent multidimensional nature of the problem while allowing the dm to incorporate his preferences in the decision process the proposed approach which grounds its basis on the field of multiple criteria decision making mcdm and more specifically on multiobjective mathematical programming mmp is implemented in the ipssis integrated portfolio synthesis and selection information system decision support system dss the validity of the proposed approach is tested through an illustrative application in the athens stock exchange ase

a fuzzy goal programming approach to portfolio selection abstract portfolio selection is a usual multiobjective problem this paper will try to deal with the optimum portfolio for a private investor taking into account three criteria return risk and liquidity these objectives in general are not crisp from the point of view of the investor so we will deal with them in fuzzy terms the problem formulation is a goal programming g p one where the goals and the constraints are fuzzy we will apply a fuzzy g p approach to the above problem to obtain a solution then we will offer the investor help in handling the results

using portfolio theory to improve resource efficiency of invested capital limited literature provides concrete theory based methods for quantifying the effects of sharing capital this paper describes the potential contribution of portfolio theory to quantify the effects and optimize the employment of capital human tangible financial and service employing capital in a theoretical and quantitative manner in the context of sustainability insights illustrate how portfolio principles can yield benefits including the fulfillment of needs using fewer resources consistent with sustainability in particular pooling assets to meet uncertain demands from different users of an asset pool may yield benefit from diversification effects suggests future research avenues such as the management of high value critical value and expiring resources to support sustainability

finance as a driver of corporate social responsibility finance is grease to the economy therefore we assume that it may affect corporate social responsibility csr and the sustainability of economic development too this paper discusses the transmission mechanisms between finance and sustainability we find that there is no simple one to one relationship between financial development and sustainable development but there are various often indirect linkages it appears that most of the literature concentrates on the role of public shareholders when it comes to changing corporate policy and performance in a more sustainable direction however this focus neglects the potential impact of the credit channel and private equity on a firm s non financial policies and performance these very powerful mechanisms can govern business policies and practices therefore there appears to be much more scope for finance to promote socially and environmentally desirable activities and to discourage detrimental activities than has been acknowledged in the academic literature so far

the drivers of responsible investment the case of european pension funds we investigate what drives responsible investment of european pension funds pension funds are institutional investors who assure the income of part of the population for a long period of time increasingly stakeholders hold pension funds accountable for the non financial consequences of their investments and many funds have engaged in responsible investing however it appears that there is a wide difference between pension funds in this respect we investigate what determines pension funds responsible investments on the basis of a survey of more than 250 pension funds in 15 european countries in 2010 we use multinomial logistic regression and find that especially legal origin of the country ownership of the pension fund and fund size related variables are to be associated with pension funds responsible investment for fund size we establish a curvilinear relationship especially the smallest and largest pension funds in the sample tend to engage with responsible investing

corporate social responsibility in the international banking industry this article aims at providing a framework to assess corporate social responsibility with international banks currently it is mainly rating institutions like eiris and kld that provide information about firms social conduct and performance however this is costly information and it is not clear how the rating institutions arrive at their conclusion we develop a framework to assess the social responsibility of internationally operating banks we apply this framework to more than 30 institutions and find significant differences among individual banks countries and regions furthermore it appears that social responsibility of these banks has significantly improved between 2000 and 2005

a puzzle in sri the investor and the judge as socially responsible investment sri enters the mainstream of professional and institutional investment practice some perplexities arise some sri market participants are well schooled in finance but are hesitative as to how to apply non financial criteria in the management of portfolios governments too are giving sri more attention and in some countries are discussion whether and how to regulate the sri market advocacy groups are targeting sri projects through media campaigns using political discourse many of the pertinent questions that come with these perplexities are of the philosophical or ethical type and concern legitimisation demarcation of responsibilities interpretation of norms and policy formulation the inclusion of non financial criteria into investment decision making leads to a puzzle in sri for which this article offers a solution the puzzle arises when the day to day implementation of an sri policy coincides with the process of administering justice three questions make up that puzzle 1 what should an investor do when allegations arise about a corporation 2 what should an investor do when a corporation is brought before a court 3 what should an investor do when a corporation is found guilty by a court this article argues by distinguishing between the rationality of the investor and that of the judge that allegations court cases or court verdicts should not be reasons to disinvest from a corporation this article offers examples from investor practice and points out in which way allegations court cases and court verdicts make sense for investor behaviour

political and economic inequality and the environment abstract this paper analyzes and tests the hypothesis that political and economic equality result in lower levels of environmental degradation based on formal statements of the argument put forward by boyce r 1994 ecological economics 11 169 178 i show that equality may or may not be necessary to minimize degradation under some plausible conditions greater inequality may even be conducive to lower degradation actual results depend primarily on the intersection between the distribution of preferences across groups and the institutional rules two cross national empirical tests tend to support the contention that distributional issues do not systematically explain variations in environmental quality the results reinforce the conclusion that assumptions about the structure of preferences and workings of social choice institutions ignore complex interactions which influence the relationship between degradation and equality

the influence of primary study characteristics on the performance differential between socially responsible and conventional investment funds a meta analysis empirical studies which analyze the performance of socially responsible investment sri funds relative to conventional funds find contradictory results the aim of this paper is to investigate with the help of a meta analysis how selected primary study characteristics influence the probability of a significant under or outperformance of sri funds compared with conventional funds 25 studies with more than 500 observations are included in the meta analysis the results of this paper suggest that the consideration of the survivorship bias in a study increases decreases the probability of a significant outperformance underperformance of sri funds relative to conventional funds the focus on united states us sri funds increases decreases the probability of a significant outperformance underperformance too the time period influences the probability of a significant under and outperformance of sri funds as well but based on the results of this paper it is not possible to draw general conclusions on this variable

home bias in equity portfolios inflation hedging and international capital market equilibrium we test whether the home bias in equity portfolios is caused by investors trying to hedge inflation risk the empirical evidence is consistent with this motive only if investors have very high levels of risk tolerance and equity returns are negatively correlated with domestic inflation we then develop a model of international portfolio choice and equity market equilibrium that integrates inflation risk and deadweight costs using this model we estimate the levels of costs required to generate the observed home bias in portfolios consistent with different levels of risk aversion for a level of risk aversion consistent with standard estimates of the domestic equity market risk premium these costs are about a few percent per annum greater than observable costs such as withholding taxes thus the home bias cannot be explained by either inflation hedging or direct observable costs of international investment unless investors have very low levels of risk aversion article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

exploring factors that influence social retail investors decisions evidence from desjardins fund most studies on the choices motivations and behavior of investors consist of segmentations focused on socio demographic characteristics such as age income education level etc such approaches seem to simplify even mutilate reality by aggregating data about observable variables and considering investors as homogeneous groups these perspectives are inspired by a scientific approach that consists of separating in order to better understand the observed phenomena by considering individual as a homo economicus that is to say a rational and autonomous individual who makes decisions motivated by material gains these studies fail to recognize all the complexity that shapes human behavior this paper argues that to understand the behavior and choices of investors in regards to socially responsible investing sri we must consider social investors as complex individuals in addition we should take into account influence that the institution may exercise throughout the role of advisors and sri promotion strategies our research builds on a multidimensional approach that explores to what extent demographic environmental social and governance esg issues the trade offs between financial return and social values the attitudes and the role of the institution throughout the role of the advisor and sri promotion strategies influence the decisions of individual social investors moreover it adopts a more open approach by exploring the characteristics and behaviors of individual social investors in relation to those of conventional investors our research provides evidence from the desjardins fund qualitative and quantitative data gathered by desjardins from online surveys are subjected to bivariate and multivariate analyses and are complimented by ten semi structured interviews with managers analysts and advisors who provided further insight into sri investment behavior and choice the results show that while demographic characteristics still remain important in understanding the behavior and attitudes of social investors it is their social values esg issues financial return considerations and the role played by the institution in mediating investment decisions that are significantly associated with sri portfolios our research highlights the complexity surrounding the phenomenon of sri and has several implications both in terms of theory and practice

on the sensitivity of mean variance efficient portfolios to changes in asset means some analytical and computational results tbis paper investigates the sensitivity of meanvariance mv efficientportfolios to changes in the means of individual assets when only a budget constraint is imposed on the investment problem the analytical results indicate that an mv efficient portfolio s weights mean and variance can be extremely sensitive to cbanges in asset means when nonnegativity constraints are also imposed on the problem the computational results confirm that a positively weigbted mv efficient portfolio s weigbts are extremely sensitive to cbanges in asset means but the portfolio s returns are not a surprisingly small increase in the mean of just one asset drives balf the securities from the portfolio yet the portfolio s expected return and standard deviation are virtually uncbanged this paper supersedes should investors hold well diversified portfolios financial support from the natural science and engineering research council of canada is gratefully acknowledged we also acknowledge the most capable assistance of ruth cornale simon ng jean marc potier and frederick shen the paper was presented at simon fraser university and the western finance association meetings in san diego we thank the participants especially stephen brown john herzog john heaney ray koopman and bruce lehmann and the editors jon ingersoll and chester spatt for

on diversification given asymmetry in returns complete diversification is the rational investment strategy for a risk averse individual in a homogeneous securities market who considers only the first two moments of return observed behavior of market participants however demonstrates that the majority of individual investors hold imperfectly diversified portfolios the purpose of the present study is to examine one potential cause for this behavior which does not rely on imperfection in the capital market specifically we show that given the existence of and investor preference for positive skewness a rational investor may hold an optimal limited number of homogeneous risk assets the relationship between the number of risk assets in a portfolio and the total risk of the portfolio has been examined extensively both theoretically and empirically 7 8 16 the general conclusion from these analyses which are set in a mean variance framework is that adding randomly selected and equally weighted risk assets to a portfolio will reduce total risk without affecting return the implication for risk averse investors in a perfect market is that complete diversification is optimal observed behavior of market participants however demonstrates that the majority of individual investors hold imperfectly diversified portfolios in the wharton survey of 1975 in 4 the median number of stocks held was found to be fewer than 4 with 34 percent of the investors holding no more than 2 stocks the two primary studies providing evidence of the undiversified portfolios of individual investors are blume and friend 3 and blume friend and crockett 5 the former analysis was based on a sample of individual income tax returns from 1971 and indicated that considering only dividend paying stocks 34 15 percent of investors sampled held only one stock 50 51 percent held no more than 2 stocks and only 10 72 percent held 10 or more stocks the latter study which included nondividend paying stocks was based on the federal reserve board s 1962 survey of the financial characteristics of consumers the median number of holdings per household was 2 while the average was 3 41 in both 3 and 5 numerous other measures of diversification were employed with the results confirming the conclusion that individual investors are on average highly undiversified the principal theoretical reasons advanced by the authors of these studies relate to the relaxation of assumptions of the standard capital asset

welfare without happiness normative analysis asks how we as a society should make trade offs between individuals behavioral welfare economics extends the scope of this analysis to a single individual asking how the individual should trade off potential motives we argue that any faith in economists behavioral or otherwise abilities to resolve such problems in moral philosophy cannot be based on past accomplishments of welfare economics and that the best way to understand welfare economics is to view it as a part of positive economics with no normative content we distinguish three types of welfare analysis we refer to them as welfare i ii and iii welfare i identifies pareto efficient outcomes within a particular model and relates those to equilibrium outcomes welfare i includes results such as the first theorem of welfare economics or the myerson and satterthwaite theorem on two sided bargaining results that show when an efficient outcome must or cannot be attained in equilibrium such results are used to explain the persistence of certain economic institutions such as competitive markets or derive limitations on what can be achieved within any institutional framework such as bargaining or auctions welfare ii posits an objective function for a policymaker and evaluates different policies or institutions according to that objective function in other words welfare ii analyzes the implications of a policymaker s preferences policymakers often pursue sophisticated objectives that cannot be captured by the standard functional forms used to describe simple selfinterested economic agents moreover evidence regarding policymakers preferences is typically limited hence discussions of policymaker

green and brown globalization and the environment globalization viewed as a process of economic integration that embraces governance as well as markets could lead to worldwide convergence toward higher or lower environmental quality or to environmental polarization in which the greening of the global north is accompanied by the browning of the global south the outcome will not be dictated by an inexorable logic rather it will depend on how the opportunities created by globalization alter balances of power within countries and among them copyright 2004 oxford university press

note naive diversification and portfolio risk a note a number of authors have used the portfolio standard deviation to model the risk reduction advantages of naive diversification other authors have pointed out that when risk is modelled by the portfolio s variance the modelling process becomes much simpler and is computationally more efficient in this note we derive an exact parametric relationship between portfolio standard deviation and size and thus highlight the dangers of using the standard deviation in conjunction with o l s regression techniques to model the risk reduction advantages of naive diversification it is then shown that past empirical studies which have used this methodology are deficient

beating the market with small portfolios evidence from brazil abstract optimal portfolios with a restriction on the number of assets also referred to as cardinality constrained portfolios have been receiving attention in the literature due to its popularity among market practitioners and retail investors in most cases however the interest is in proposing efficient optimization methods to solve the problem with little or no attention to the characteristics of the resulting portfolio such as risk adjusted performance and turnover we address this question by implementing a tractable reformulation of the cardinality constrained version of the minimum variance portfolio we analyze the out of sample performance of cardinality constrained portfolios according to alternative criteria and check the robustness of the results for portfolios with alternative number of assets and under alternative re balancing frequencies our empirical application for the brazilian equities market shows that cardinality constrained minimum variance portfolios with very few assets e g 3 stocks can deliver statistically lower portfolio risk and higher sharpe ratios in comparison to the market index similar results are obtained for constrained portfolios with 5 and 10 assets and under daily weekly and monthly re balancing frequencies our evidence indicates that it is possible to obtain better risk adjusted performance with fewer securities in the portfolio by using an improved allocation scheme

method in the madness a political economy analysis of the ethnic conflicts in less developed countries this paper is an attempt from a political economist s point of view to look for some clear patterns in the horrendous complexities of the ethnic and sectarian conflicts that are raging in less developed countries we emphasize the importance of some institutional failures such as the decline of mediating institutions or of preexisting structures of credible commitment rather than mere cultural and historical animosities behind the collapse of interethnic understandings and compromises the rise in ethnic conflicts is not always associated with economic deterioration sometimes quite the contrary the effects of market expansion are also ambiguous in our discussion of policy lessons we have tried to look for various ways both political and economic of constructing institutionalized incentives for conciliatory actions

socially responsible investment a multicriteria approach to portfolio selection combining ethical and financial objectives abstract in a context of socially responsible investment sri this paper deals with portfolio selection for investors interested in ethical policies in the opportunity set there are ethical assets and other assets which are not characterized as ethical two goals are considered the traditional financial goal in the classical utility theory under uncertainty and an ethical goal in the same utility framework a new financial ethical bi criteria model is proposed with absolute risk aversion coefficients and targets depending on the investor s ethical profile this approach is relevant as an increasing number of mutual funds are becoming interested in sri strategies from the proposed model an actual case on green investment is developed concerning this case without generalizing to other contexts an analysis of the numerical results shows that efficient portfolios obtained by the traditional e v model outperform the strong green portfolios in terms of expected return and risk but this does not significantly occur with weak green investment

does equity ownership matter for corporate social responsibility a literature review of theories and recent empirical findings based on the concept of shareholder primacy many scholars have argued that it is more important for businesses to earn profits for their shareholders than to provide benefits to society at large corporate social responsibility csr is often regarded as an investment that comes at the expense of shareholders in contrast research analyzing the connections between the equity ownership structure of a company and its level of csr engagement suggests that csr offers benefits to shareholders that go beyond direct financial returns from investments this study provides a comprehensive review and systematic assessment of theoretical considerations and approaches regarding different forms of equity ownership and their relationships to csr and it discusses the relevant benefits and motivations of shareholders the perceived value of these csr benefits varies among different types of shareholders as they assign unequal values to short term financial or to rather long term csr benefits based on a literature sample of 146 publications this review demonstrates central problems inherent in previous analyses given the ambiguous and partially contradictory findings of prior research this study identifies potential moderating influences that help clarify empirical evidence a contingency approach is suggested in future research as this can help resolve the problem of contradictory empirical findings and theoretical arguments

information as regulation the effect of community right to know laws on toxic emissions abstract there is growing academic and policy level interest in the use of information as quasi regulatory mechanisms such as toxic release inventory tri and green labels mandatory disclosure requirements have been touted as market based incentives that may affect firm behavior we provide new evidence on the effectiveness of disclosure requirements by examining firm behavior in response to disclosures of tri emissions we find that firms with the largest stock price decline on the day this information became public subsequently reduced emissions more than their industry peers this is consistent with the view that financial markets may provide strong incentives for firms to change their environmental behavior

the shading and distancing of commerce when internalization is not enough abstract a political economy of degradation and of sustainability should account not only for the full range of production costs but the sources of those costs it should consider how the pursuit of wealth can deliberately or not lead to uncounted costs and unaccountable actors this article explores the conditions of cost generation and externalization especially those that are largely unintended and inadvertent it shows how the pursuit of wealth the expansion of markets the mobility of capital and the entanglements of production processes can lead to the unwitting generation and displacement of costs it analyzes competitive business strategy and patterns of production and consumption for their contribution to such costs business strategy and state policy tend to create a never ending search for frontiers however simulated and however unecological they may be the costs generated in those frontiers are a function of shading that is obscuring of costs and distancing the separation of production and consumption decisions both of which impede ecological and social feedback and create cognitive institutional and ethical lags between initial benefits and eventual full costs as distance increases along dimensions of geography culture bargaining power or agency negative feedback loops are severed stakeholders expand while decision making contracts environmental problems are displaced and shading and cost externalization increase the likelihood of sustainable resource use increases as distance is lowered as institutions locate decision authority in those who receive negative ecological feedback and who have the capacity and incentives to act on that feedback and as the burden of proof for economic interventions shifts to the interveners

addiction and cue triggered decision processes we propose a model of addiction based on three premises 1 use among addicts is frequently a mistake 2 experience sensitizes an individual to environmental cues that trigger mistaken usage 3 addicts understand and manage their susceptibilities we argue that these premises find support in evidence from psychology neuroscience and clinical practice the model is tractable and generates a plausible mapping between behavior and the characteristics of the user substance and environment it accounts for a number of important patterns associated with addiction gives rise to a clear welfare standard and has novel implications for policy

tnc motives for signing international framework agreements a continuous bargaining model of stakeholder pressure over the past decade discussion has flourished among practitioners and academics regarding workers rights in developing countries the lack of enforcement of national labour laws and the limited protection of workers rights in developing countries have led workers rights representatives to attempt to establish transnational industrial relations systems to complement existing national systems in practice these attempts have mainly been operationalised in unilateral codes of conduct recently however negotiated international framework agreements ifas have been proposed as an alternative despite their growing importance few studies have empirically studied ifas this paper starts to fill this gap by studying why corporations adopt ifas based on a qualitative study of the process leading to the signing of a recent ifa the study s findings complement existing research into why corporations adopt ifas codes of conduct and csr policies by demonstrating that corporate motives can be linked to a desire to retain a trusting relationship with the labour union movement in addition the findings indicate that the discrete campaign model of stakeholder pressure dominant in previous research should be complemented by a continuous bargaining model of stakeholder pressure the paper concludes by discussing differences between these conceptual models of stakeholder pressure and avenues for future research

power distribution the environment and public health a state level analysis abstract this paper examines relationships among power distribution the environment and public health by means of a cross sectional analysis of the 50 us states a measure of inter state variations in power distribution is derived from data on voter participation tax fairness medicaid access and educational attainment we develop and estimate a recursive model linking the distribution of power to environmental policy environmental stress and public health the results support the hypothesis that greater power inequality leads to weaker environmental policies which in turn lead to greater environmental degradation and to adverse public health outcomes

stochastic goal programming a mean variance approach abstract we propose a stochastic goal programming gp model leading to a structure of mean variance minimisation the solution to the stochastic problem is obtained from a linkage between the standard expected utility theory and a strictly linear weighted gp model under uncertainty the approach essentially consists in specifying the expected utility equation corresponding to every goal arrow s absolute risk aversion coefficients play their role in the calculation process once the model is defined and justified an illustrative example is developed

how many stocks make a diversified portfolio we show that a well diversified portfolio of randomly chosen stocks must include at least 30 stocks for a borrowing investor and 40 stocks for a lending investor this contradicts the widely accepted notion that the benefits of diversification are virtually exhausted when a portfolio contains approximately 10 stocks we also contrast our result with the levels of diversification found in studies of individuals portfolios

grading the performance of market indicators with utility benchmarks selected from footsie a 2000 case study the suitable choice of a benchmark portfolio is a critical problem prior to using the information ratio as the performance ranking of funds depends on this choice in this paper a method to optimize benchmark selection taking account of the investor s preferences is proposed and applied to a case study of performance for 29 market indicators on stock exchanges throughout the world the method that relies on recent results in optimization theory requires defining the opportunity set to select the benchmarks this set being footsie in the case study the computational process and numerical results are presented through tables and figures the accuracy of the method being also numerically tested

the corporate social responsibility of pharmaceutical product recalls an empirical examination of u s and u k markets the pressure on companies to practice corporate social responsibility csr has gained momentum in recent times as a means of sustaining competitive advantage in business the pharmaceutical industry has been acutely affected by this trend while pharmaceutical product recalls have become rampant and increased dramatically in recent years no comprehensive study has been conducted to study the effects of announcements of recalls on the shareholder returns of pharmaceutical companies as product recalls could significantly damage a company s reputation profitability and brand integrity this paper investigates the effect on shareholder wealth and the extent to which the adoption of csr practices by pharmaceutical companies in the united kingdom u k and the united states u s the two largest markets for pharmaceutical products in the world affected market reactions surrounding product recall announcements the analysis of product recall announcements from 1998 to 2004 compiled from the pharmaceutical journal and u s food and drug administration enforcement reports revealed marked differences in the way market participants in the two countries responded to news of product recalls u s investors penalised firms according to the severity of product defects while u k investors were indifferent while u k investors rewarded product recalls by firms which were not usually csr active u s investors punished non csr active firms that performed recalls these observations could pose strategic challenges to pharmaceutical firms operating in both countries

safety first portfolio choice based on financial and sustainability returns the aim of this paper is to expand the methodological spectrum of socially responsible investing by introducing stochastic sustainability returns into safety first models for portfolio choice we provide a foundation of the notion of sustainability in portfolio theory and establish a general model for generalized safety first portfolio management with probabilistic constraints and three specifications of it moreover we prove theorems about conditions for unique optimal solutions and for the constraints of one model being more restrictive than those of another in an empirical part we calculate the costs of investing according to our approach in terms of less financial return

multiple criteria decision aiding for finance an updated bibliographic survey finance is a popular field for applied and methodological research involving multiple criteria decision aiding mcda techniques in this study we present an up to date bibliographic survey of the contributions of mcda in financial decision making focusing on the developments during the past decade the survey covers all main areas of financial modeling as well as the different methodological approaches in mcda and its connections with other analytical fields on the basis of the survey results we discuss the contributions of mcda in different areas of financial decision making and identify established and emerging research topics as well as future opportunities and challenges

trade and the environment from a southern perspective the relationship between free trade and the environment is one of the main issues of contention between environmental and ecological economics environmental economics assumes a positive relationship between free trade economic growth and environmental policies environmental externalities may cause important damage however trade is not to be blamed for this instead the fault lies with policy inadequacies at the national level on the other hand some ecological economists criticise the assumptions of environmental economics especially the immobility of production factors and the positive correlation between income and environmental quality they plead for measures to prevent deterioration of northern environmental standards in a race to the bottom due to ecological dumping from the south in this paper we argue that neither environmental economics nor northern ecological economics take into account the structural conditions determining the international trade system based on some new empirical evidence on material flows we stress the notion of environmental cost shifting if physical and political ecology perspectives are adopted a southern approach to the trade and environment issue may arise 2001 elsevier science b v all rights reserved

long term global market correlations the correlation structure of the world equity markets varied considerably over the past 150 years and was high during periods of economic integration we decompose diversification benefits into two parts one component due to variation in the average correlation across markets and a another component due to the variation in the investment opportunity set from this we infer that periods of globalization have both benefits and drawbacks for international investors globalization expands the opportunity set but as a result the benefits from diversification rely increasingly on investment in emerging markets

effects of physical distancing to control covid 19 on public health the economy and the environment physical distancing measures are important tools to control disease spread especially in the absence of treatments and vaccines while distancing measures can safeguard public health they also can profoundly impact the economy and may have important indirect effects on the environment the extent to which physical distancing measures should be applied therefore depends on the trade offs between their health benefits and their economic costs we develop an epidemiological economic model to examine the optimal duration and intensity of physical distancing measures aimed to control the spread of covid 19 in an application to the united states our model considers the trade off between the lives saved by physical distancing both directly from stemming the spread of the virus and indirectly from reductions in air pollution during the period of physical distancing and the short and long run economic costs that ensue from such measures we examine the effect of air pollution co benefits on the optimal physical distancing policy and conduct sensitivity analyses to gauge the influence of several key parameters and uncertain model assumptions using recent estimates of the association between airborne particulate matter and the virulence of covid 19 we find that accounting for air pollution co benefits can significantly increase the intensity and duration of the optimal physical distancing policy to conclude we broaden our discussion to consider the possibility of durable changes in peoples behavior that could alter local markets the global economy and our relationship to nature for years to come

understanding socially responsible investing the effect of decision frames and trade off options over the past two decades the phenomenon of socially responsible investing has become more widespread however knowledge about the individual socially responsible investor is largely limited to descriptive and comparative accounts the question of why do some investors practice socially responsible investing and others don t is therefore still largely unanswered to address this shortcoming in the current literature this paper develops a model of the decision to invest socially responsibly that is grounded in the cognition literature the hypotheses proposed in the model are tested with an experimental survey the results indicate that the framing of the investing situation influences the likelihood of engagement in socially responsible investing and how much return the individuals are willing to sacrifice when choosing socially responsible over conventional investments the study does not find support for a relationship between expectations about corporate social responsibility and the likelihood of engagement in socially responsible investing

neuroeconomics why economics needs brains neuroeconomics uses knowledge about brain mechanisms to inform economic theory it opens up the black box of the brain much as organizational economics opened up the theory of the firm neuroscientists use many tools including brain imaging behavior of patients with brain damage animal behavior and recording single neuron activity the key insight for economics is that the brain is composed of multiple systems which interact controlled systems executive function interrupt automatic ones brain evidence complicates standard assumptions about basic preference to include homeostasis and other kinds of state dependence and shows emotional activation in ambiguous choice and strategic interaction

the message and methods of ethical investment abstract this paper examines a high profile and often provocative segment of the financial industry that of ethical or socially responsible investment by offering an ethical or sustainable product which has the potential to influence so many stakeholders the financial industry is in a unique position to guide change towards corporate sustainability however what message is ethical investment really giving to companies and the financial industry are ethical investors and their rating agencies capable of effectively influencing corporations towards more sustainable patterns of production and consumption and are their approaches consistent with the principles of cleaner production this paper first gives an overview some of the definitions ethical investment and the scale of activities under this umbrella term then the actual screening methods and their application is examined a typology of the different ethical mutual funds is given and two cases of ethical funds are described robur s environmental fund and sustainable asset management s sustainability rating tool each are analysed in terms of their potential to either reveal or conceal cleaner production innovations by the firms they assess in order to ascertain where ethical investment might lead companies the effects of ethical investment on companies and back on the asset management companies themselves is explored a reflexive model of corporate and finance sector learning based on the ethical screens is proposed

simulating and calibrating diversification against black swans abstract an investor concerned with the downside risk of a black swan only needs a small portfolio to reap the benefits from diversification this matches actual portfolio sizes but does contrast with received wisdom from mean variance analysis and intuition regarding fat tailed distributed returns the concern for downside risk and the fat tail property of the distribution of returns can explain the low portfolio diversification a simulation and calibration study is used to demonstrate the relevance of the theory and to disentangle the relative importance of the different effects

toxics release information a policy tool for environmental protection abstract this study examines investor reactions to the repeated public disclosure of environmental information about firms in the chemical industry and the effectiveness of this information as a decentralized mechanism for deterring their pollution by allowing investors to benchmark the performance of firms repeated provision of the toxics release inventory led firms to incur statistically significant negative stock market returns during the one day period following the disclosure of that information in the years 1990 1994 these losses had a significant negative impact on subsequent on site toxic releases and a significant positive impact on wastes transferred off site but their impact on total toxic wastes generated by these firms is negligible

portfolio diversification and systemic risk in interbank networks abstract this paper contributes to a growing literature on the ambiguous effects of risk diversification in our model banks hold claims on each other s liabilities that are marked to market on the individual financial leverage of the obligor the probability of systemic default is determined using a passage problem approach in a network context and banks are able to internalize the network externalities of contagion through their holdings banks do not internalize the social costs to the real economy of a systemic default of the banking system we investigate the optimal diversification strategy of banks in the face of opposite and persistent economic trends that are ex ante unknown to banks we find that the optimal level of risk diversification may be interior or extremal depending on banks exposure the external assets and that a tension arises whereby individual incentives favor a banking system that is over diversified with respect to the level of diversification that is desirable in the social optimum

mainstreaming and its discontents fair trade socially responsible investing and industry trajectories over time according to popular and academic accounts alternative trade initiatives such as fair trade organics forest certification and socially responsible investing sri almost invariably lose their oppositional stance and go mainstream that is they lose their alternative usually peripheral and often contrarian character in this paper i argue that this is not always the case and that the path to going mainstream is not always an unproblematic one i observe that while scholars have documented various aspects of specific alternative trade initiatives little comparative work has been done to theorize their different trajectories to advance the scholarship i compare two alternative trade movements fair trade and sri and develop three hypotheses the relation motivations hypothesis the material interests hypothesis and the organization of credibility hypothesis that explain why going mainstream has been so hotly contested in the fair trade movement but not the sri movement i articulate these hypotheses and evaluate their merits

do economic problems at home undermine worker safety abroad a panel study 1980 2009 do economic downturns in the global north undermine worker safety in the global south literature suggests that bilateral trade linkages lead to the diffusion of good labor standards from importing countries of the global north to exporting countries of the global south the crucial mechanism is the ability and willingness of importing firms to deploy their market leverage and ask for improved labor standards from their overseas suppliers yet cost cutting pressures emanating from economic downturns might lead the same importing firms to give lower priority to worker safety in their overseas supply chains when importing firms demand price reductions overseas suppliers might respond by reducing wages ignoring safety regulations and working their labor force for longer hours the observable implication is that worker safety in the global south may deteriorate during economic downturns in their export markets located in the global north we evaluate our hypothesis using a panel of 83 developing countries for the period during 1980 2009 and find that economic downturns in developed country markets are associated with significant increases in non fatal occupational injury rates in developing countries the injury increasing effect is more pronounced in developing countries with weak workers rights protection

optimal mean variance portfolio selection using cauchy schwarz maximization fund managers highly prioritize selecting portfolios with a high sharpe ratio traditionally this task can be achieved by revising the objective function of the markowitz mean variance portfolio model and then resolving quadratic programming problems to obtain the maximum sharpe ratio portfolio this study presents a closed form solution for the optimal sharpe ratio portfolio by applying cauchy schwarz maximization and the concept of kuhn tucker conditions an empirical example is used to demonstrate the efficiency and effectiveness of the proposed algorithms moreover the proposed algorithms can also be used to obtain the optimal portfolio containing large numbers of securities which is not possible or at least is complicated via traditional quadratic programming approaches

markowitz revisited social portfolio engineering abstract in recent years socially responsible investing has become a popular subject with both private and institutional investors at the same time a number of scientific papers have been published on socially responsible investments sris covering a broad range of topics from what actually defines sris to the financial performance of sri funds in contrast to non sri funds in this paper we revisit markowitz portfolio selection theory and propose a modification allowing to incorporate not only asset specific return and risk but also a social responsibility measure into the investment decision making process applied in an a posteriori fashion the model results in a three dimensional capital allocation plane illustrating the complete set of feasible optimal portfolios it enables investors to custom tailor their asset allocations and incorporate all personal preferences regarding return risk and social responsibility in an empirical analysis with a data set of over 6000 international companies including the complete universe of social responsibility rated stocks we find that investors opting to maximize the social impact of their investments do indeed face a statistically significant decrease in expected returns however the social responsibility risk optimal portfolio yields a statistically significant higher social responsibility rating than the return risk optimal portfolio

the maturing of socially responsible investment a review of the developing link with corporate social responsibility this paper reviews the development of socially responsible investment sri over recent years and highlights the prospects for an increasingly strong connection with the practice of corporate social responsibility the paper argues that not only has sri grown significantly it has also matured in particular it has become an investment philosophy adopted by a growing proportion of large investment institutions this shift in sri from margin to mainstream and the position in which institutional investors find themselves is leading to a new form of sri shareholder pressure although this bears some resemblance to lobbying campaigns which might take advantage of shareholder rights we seek to distinguish it as an important phenomenon in its own right one to which corporate executives are likely to be paying increasing attention in the years to come we further argue that this approach potentially meets some of the earlier ethical criticisms of certain forms of sri but ironically probably owes its existence to those pioneering approaches we conclude with some suggestions for further research to inform discussion of the issues highlighted in the paper

vector forecasting and dynamic portfolio selection empirical efficiency of recursive multiperiod strategies abstract in the paper we present a dynamic portfolio selection system the system combines recent results from the domains of time series analysis portfolio theory and multiperiod linear programming under uncertainty the performance of the decision support system is tested empirically against a dynamic super criterion defined in the study we demonstrate that suitable combination of ex ante and ex post information with initial balances for the planning horizon yields better portfolio efficiency through time than a strategy relying purely on ex ante information the system was programmed on abo academy s vax 8800 computer mainly in fortran with access to the imsl library and ifps optimum

the evolution of environmentally responsible investment an adam smith perspective abstract this paper demonstrates that adam smith has common ground with contemporary social scientists who study the management of the common pool resources from an evolutionary perspective contrary to the caricature of smith presented by neoliberals as a promoter of self interest he recognized the value of other regarding behavior specifically focus is given to how such behavior can contribute to constructing institutional arrangements that can help to avoid damaging market excesses a study of the development of a process to encourage investment behavior that is environmentally responsible establishes that smith s work has relevance for addressing environmental issues in our contemporary complex market system

world inequality and globalization the article assesses recent attempts to measure the level and changes in world inequality it compares results based on country averages population weighted inter country gini coefficients and combinations of inter country and intra country distribution figures most measures agree that inequality grew up to 1980 some suggest that it stabilized or declined slightly after that date but that conclusion is not definitive the article argues against reliance on single indicators to measure world inequality as opposed to looking at various measures including inequality between regions and the ratios of incomes of the poor and the rich according to several of these measures inequality has continued to grow the addition of variables other than income life expectancy and education appear to reduce inequality but this is largely an illusion copyright 2004 oxford university press

comparison of alternative utility functions in portfolio selection problems this paper examines the effect of alternative utility functions and parameter values on the optimal composition of a risky investment portfolio normally distributed assets are the setting for the theoretical and empirical analyses the results agree well with the available theory and imply utility functions and parameter values that are appropriate for investors with particular risk bearing attitudes the results give strong empirical support to the proposition that utility functions having different functional forms and parameter values but similar absolute risk aversion indices have similar optimal portfolios these results suggest that over horizons up to one year one can safely substitute convenient surrogate utility functions for other utility functions for reasons of tractability or otherwise the results also provide guidance regarding the significance of the magnitude and change of particular numerical values of the risk aversion index moreover theoretical exact results are obtained using rubinstein s measure of global risk aversion

synthetic indicators of mutual funds environmental responsibility an application of the reference point method abstract socially responsible investing sri is broadly defined as an investment process that integrates not only financial but also social environmental and ethical see considerations into investment decision making sri has grown rapidly around the world in the last decades in the last years given the causes of the 2008 financial crisis ethical social environmental and governance concerns have become even more relevant investment decision criteria however while a diverse set of models have been developed to support investment decision making based on financial criteria models including also social responsibility criteria are rather scarce the aim of this paper in which we focus on the environmental dimension is to assist individual investors in their investment decisions providing them with a synthetic indicator of mutual funds environmental responsibility which is by nature a multicriteria concept and therefore multicriteria techniques are to be used to measure it the proposed approach is based on the double reservation aspiration reference point method this scheme is applied to each fund of a randomly selected set of u s equity mutual funds in order to determine on the basis of a given set of indicators a pair of synthetic indicators that measure the weak and the strong environmental responsibility degree of each mutual fund relying on the particular preferences of the investor

dea frontier improvement and portfolio rebalancing an application of china mutual funds on considering sustainability information disclosure abstract data envelopment analysis dea has been a widely used methodology for evaluating the relative performance of portfolios extensive work has appeared for realizing the role of dea in the aspect of assessing portfolio performance and deriving the relative rankings however the role of providing realizable benchmarks is not fully explored in the existing literatures most importantly the dea based portfolio performance evaluation methods developed in the existing literatures can hardly provide support for fund managers in pursuing sustainability performance in this paper we first propose a dea frontier improvement approach under the mean variance framework this approach provides investor with a rebalancing strategy as well as an improved dea frontier which approximates the portfolio efficient frontier better than the traditional dea model does then this approach is extended to a general return risk framework our in sample simulation results verify the effectiveness of the proposed approach for a wide range of applications in addition the out of sample tests show that the rebalancing investment strategies can achieve higher sharpe ratios and sortino ratios than those of the original ones finally we apply the proposed approach to evaluate mutual fund performance in china with the consideration of sustainability information disclosure we construct a disclosure index to indicate the extent of sustainable information disclosure of each mutual fund the results show that the proposed approach provides not only investment recommendations but also references for constructing sustainable green funds

portfolio optimization under lower partial moments in emerging electricity markets evidence from turkey abstract optimization of the electricity markets under modern portfolio theory has a crucial role for financial decision makers power suppliers in deregulated electricity markets need to optimize their generation capacities and bidding strategies so as to effectively participate in bilateral contract and spot markets market players have to deal with continuously changing electricity prices in competitive electricity market environment during their daily routine system operations electricity not like the others is a unique product service and cannot be stored economically however it should be generated and consumed simultaneously in addition to all power suppliers face with fuel price water regime delivery and network risks in view of the scene described above prudent decision making methodologies are of critical importance to maximize profit while minimizing managing risks this paper presents a comprehensive comparison of mean variance down side and semi variance methods for optimization in electricity markets and the corresponding methodologies to maximize the return while minimizing risk real turkish day ahead market data set between december 2009 and december 2012 is used in numerical calculations generation cost data of hydraulic plants lignite coal fired thermal power plants and natural gas combined cycle power plants are taken into consideration in the course of optimization evaluations in the present of real data these methods can also be applied to renewable energy generation types these three methods were able to be applied to all case scenarios effectively and produced efficient frontiers optimal minimal portfolios and utility functions successfully the results have revealed that the methods significantly provide decisions for power suppliers with different risk aversion levels and for various instruments to maximize the profit while minimizing the associated market risks and to meet generation obligations consequently financial optimization under lower partial moments constraints would give notable results in analyzing the efficient frontiers for electricity markets in turkey

an mcdm approach to portfolio optimization abstract we propose a model for portfolio optimization extending the markowitz mean variance model based on cooperation with standard and poor s we use five specific objectives related to risk and return and allow consideration of individual preferences through the construction of decision maker specific utility functions and an additive global utility function numerical results using customized local search simulated annealing tabu search and genetic algorithm heuristics show that problems of practically relevant size can be solved quickly

support for investor activism among u k ethical investors an important goal of ethical investment is to influence companies to improve their ethical and environmental performance the principal means that many ethical funds employ is passive market signalling which may not on its own have a significant effect a much more promising approach may be active engagement this paper reports on a questionnaire study of a sample of 1146 ethical investors in order to assess whether u k ethical investors would support more activist ethical investment and whether they would be prepared to invest in companies which are failing ethically in order to do so the results show general support for the current practice of passive signalling accompanied by soft engagement in the form of lobbying and the development of dialogue in order to improve corporate practice the harder options of investing in companies that err in order to change them is however favoured by consistent minorities

a theory of competition among pressure groups for political influence this paper presents a theory of competition among pressure groups for political influence political equilibrium depends on the efficiency of each group in producing pressure the effect of additional pressure on their influence the number of persons in different groups and the deadweight cost of taxes and subsidies an increase in deadweight costs discourages pressure by subsidized groups and encourages pressure by taxpayers this analysis unifies the view that governments correct market failures with the view that they favor the politically powerful both are produced by the competition for political favors

income inequality and pollution a reassessment of the environmental kuznets curve abstract improvements in some measures of air and water quality can accompany rising per capita income as illustrated by the so called environmental kuznets curve for pollution variables which show such a relationship we hypothesize that a more equitable distribution of power contributes to these outcomes by enhancing the influence on policy of those who bear the costs of pollution relative to the influence of those who benefit from pollution generating activities an empirical analysis of international variations in seven indicators of air and water quality supports this hypothesis literacy political rights and civil liberties are found to have particularly strong effects on environmental quality in low income countries

socially responsible investing in the united states socially responsible investing sri has emerged in recent years as a dynamic and quickly growing segment of the u s financial services industry involving over 2 trillion in professionally managed assets its conceptual origins can be found in the early history of civilization with it s modern roots in the 1960s this paper provides an overview of the breadth and depth of the concept and practice of socially and environmentally responsible investing describes the investment strategies that together define sri as currently practiced in the u s offers several observations about some of the factors fueling its dramatic growth and presents data showing that investors who choose to invest in a socially and environmentally responsible manner can do so without giving up investment returns sri has matured to a point where virtually any investment need can be met through portfolio design that integrates an investor s personal values institutional mission and or social priorities the socially responsible investment industry in the unitedstates is a young phenomenon even referring to it as an industry ten years ago may have been a bit of a stretch while it has grown dramatically in recent years it is an area of work of study and of practical application that continues to evolve in many significant ways one intriguing example of the ongoing development of the field can be found in the analysis of the language used to describe it the terms social investing socially responsible investing ethical investing socially aware investing socially conscious investing green investing values based investing and mission based or mission related investing all refer to the same general process and are often used interchangeably

tri criterion inverse portfolio optimization with application to socially responsible mutual funds we present a framework for inverse optimization in a markowitz portfolio model that is extended to include a third criterion the third criterion causes the traditional nondominated frontier to become a surface until recently it had not been possible to compute such a surface but by using a new method that is able to generate the nondominated surfaces of tri criterion portfolio selection problems we are able to compute via inverse optimization the implied risk tolerances of given funds that pursue an additional objective beyond risk and return in applying this capability to a broad sample of conventional and socially responsible sr mutual funds we find that after the screening process there appears to be no significant di erence between how assets are allocated in socially responsible and conventional mutual funds which is likely to be di erent from what most sr investors would expect

the share price puzzle we document substantial variation in the prices of common stocks in u s markets due to firms selecting particular price ranges for their shares cross sectional evidence indicates that variables consistent with merton s model of capital market equilibrium explain roughly two thirds of this variation in share prices in addition measures of trading range and share price appreciation predict stock splits and the investor base of firms that split their stock increases compared to other firms we conclude that firms manage share price levels to increase the value of the firm

socially responsible investment in the spanish financial market this paper reviews the development of socially responsible investment sri in the spanish financial market the year 1997 saw the appearance in spain of the first sri mutual fund but it was not until late 1999 that major spanish fund managers offered sri mutual funds on the retail market the development of sri in the spanish financial market has not experienced the high levels of development seen in other european countries such as france or italy where interest in sri began during the same period this paper presents an analysis of the impact of sri mutual funds managed by spanish fund managers comparing the evolution of managed assets and number of investors we also analyse the investment strategies adopted by these funds which mainly use negative screening criteria and the participation of non governmental organisations as institutional investors an analysis of the take up of socially responsible investment in the spanish financial market shows majors deficits in this process this is due to spanish investors having limited sensitivity to social issues and knowledge of sri and a lack of development of sri investment strategies such as engagement or shareholder activism by fund managers furthermore the take up of sri mutual funds in the spanish financial market coincided with a fall in the stock market at the beginning of the 21st century we conclude with an analysis of the relationship between sri and corporate social responsibility csr

selection of socially responsible portfolios using hedonic prices this research presents a novel framework for selecting socially responsible investment sri portfolios the hedonic price method hpm is applied to obtain an evaluation of sri criteria that is integrated into a multi objective mathematical programming model this approach allows us to obtain a portfolio whose financial performance is similar to which the investor would have reached if he or she had not taken into account social ethical and environmental see characteristics when making his or her investment decisions this methodology is applied to portfolios composed of socially responsible and conventional mutual funds domiciled in spain

the asset allocation decision and investor heterogeneity a puzzle abstract this paper examines portfolio allocation decisions for a large sample of demographically diverse survey respondents in light of finance theory and the recommendations of financial advisors we investigate whether asset allocation decisions vary for respondents who differ across several dimensions including gender home ownership age net worth and psychological orientation sample respondents decisions are consistent with popular advice and finance theory we find that only age affects the mix of risky securities when we consider the allocation of total portfolio assets to equity all individual characteristics except age matter psychological orientation contributes to our ability to explain asset allocation decisions

corporate sustainability ratings an investigation into how corporations use the dow jones sustainability index abstract the purpose of this paper is to explore the use of the dow jones sustainability index djsi with an emphasis on canadian corporations the paper provides insight into the use of the djsi in several areas including the use of its logo the steps taken by corporations to achieve initial acceptance to the index and the steps corporations take to maintain their inclusion in the djsi a content analysis of publicly available information from 24 canadian corporations listed in the djsi north america djsina showed that less than half of those sampled used the djsi logo in their sustainability reports or on their websites the majority of the published references to the djsi were in highlighting corporate achievements or in providing background information on the index a survey of 10 experts from the canadian corporations listed in the djsina revealed a wide range of strategies for gaining and maintaining inclusion in the index particularly involving a large number of internal stakeholders in responding to data requests and working with third parties several suggestions for improving the djsi were also provided including streamlining the questionnaire improving coordination among sustainability ratings agencies and enhancing transparency

nash equilibrium and welfare optimality if is a set of social alternatives a social choice rule scr assigns a subset of a to each potential profile of individuals preferences over a where the subset is interpreted as the set of welfare optima a game form or mechanism implements the social choice rule if for any potential profile of preferences 1 any welfare optimum can arise as a nash equilibrium of the game form implying in particular that a nash equilibrium exists and 2 all nash equilibria are welfare optimal the main result of this paper establishes that any scr that satisfies two properties monotonicity and no veto power can be implemented by a game form if there are three or more individuals the proof is constructive

non gaussian diversification when size matters abstract classical portfolio theory informs investors that they should have a large number of assets in their portfolios in order to diversify risk we show that the non gaussian features of stock return distribution may not allow for this risk protection in times of crisis moreover we demonstrate empirically that if investors are risk averse and consider higher order moments they have numerous incentives not to diversify their portfolios fully this is caused by the evolution of both large losses and asymmetry of returns when the numbers of assets in a portfolio change

tri criterion modeling for constructing more sustainable mutual funds one of the most important factors shaping world outcomes is where investment dollars are placed in this regard there is the rapidly growing area called sustainable investing where environmental social and corporate governance esg measures are taken into account with people interested in this type of investing rarely able to gain exposure to the area other than through a mutual fund we study a cross section of u s mutual funds to assess the extent to which esg measures are embedded in their portfolios our methodology makes heavy use of points on the nondominated surfaces of many tri criterion portfolio selection problems in which sustainability is modeled after risk and return as a third criterion with the mutual funds acting as a filter the question is how effective is the sustainable mutual fund industry in carrying out its charge our findings are that the industry has substantial leeway to increase the sustainability quotients of its portfolios at even no cost to risk and return thus implying that the funds are unnecessarily falling short on the reasons why investors are investing in these funds in the first place