Most socially responsible investment funds combine a sustainability objective with a tracking error constraint. We characterize the impact of a sustainability constraint on the mean-tracking error efficient frontier and illustrate this on a universe of US stocks for the period 2003–2010.

A jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns is proposed. It disentangles covariance estimation into variance and correlation components. This allows us to account for non-synchronous trading by estimating...

In recent years, the market share of socially responsible investment funds has rapidly increased. This has sparked interest of academics and practitioners for the impact of single stock sustainability screening on portfolio performance. Besides eliminating non sustainable assets from the...

We propose a jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate correlations over lower sampling frequencies, to...

The Gaussian rank correlation equals the usual correlation coefficient computed from the normal scores of the data. Although its influence function is unbounded, it still has attractive robustness properties. In particular, its breakdown point is above 12%. Moreover, the estimator is consistent...