on the investors’ risk aversion. Social ratings are introduced in mean-variance optimization through linear constraints …) portfolio selection setting. We consider optimal portfolios both with and without a risk-free asset. The SR-efficient frontier … cost), b) only the left portion is penalized (i.e. a cost for high-risk-aversion investors only), c) only the right portion …

the risk/return relationship. The analysis then focuses on specific ratings relating to a) the environment, b) social …

The aim of this paper is to measure the cost of investing responsibly for different risk aversion levels by taking the … are cautious (i.e. a higher level of risk aversion) while this is the contrary for emerging markets. It implies that … managers of Socially Responsible Investment (SRI) funds should gauge investor’s risk aversion prior to evaluating the “SRI cost …

distinctive features, including exceptionally high average return and volatility. Its correlation with other assets is remarkably … inclusion of even a small proportion of Bitcoins, say 3%, may dramatically improve the risk-return trade-off of welldiversified …

terms of risk exposure, estimates of the Capital Asset Pricing Model demonstrate that microfinance shares exhibit higher …