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Is socially responsible investing just screening? Evidence from mutual funds
Hirschberger, Markus; Steuer, Ralph E.; Utz, Sebastian; … - 2012
This paper presents the results of an empirical study concerning conventional and socially responsible mutual funds.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we...
Persistent link: https://www.econbiz.de/10010281494
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Is socially responsible investing just screening? : evidence from mutual funds
Hirschberger, Markus; Steuer, Ralph E.; Utz, Sebastian; … - 2012
This paper presents the results of an empirical study concerning conventional and socially responsible mutual funds.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we...
Persistent link: https://www.econbiz.de/10009506554
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Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
Utz, Sebastian; Wimmer, Maximilian; Hirschberger, Markus; … - In: European journal of operational research : EJOR 234 (2014) 2, pp. 491-498
Persistent link: https://www.econbiz.de/10010356715
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Is socially responsible investing just screening? Evidence from mutual funds
Hirschberger, Markus; Steuer, Ralph E.; Utz, Sebastian; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
This paper presents the results of an empirical study concerning conventional and socially responsible mutual funds.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we...
Persistent link: https://www.econbiz.de/10009652361
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Computing the Nondominated Surface in Tri-Criterion Portfolio Selection
Hirschberger, Markus; Steuer, Ralph E.; Utz, Sebastian; … - In: Operations research : the journal of the Operations … 61 (2013) 1, pp. 169-183
Persistent link: https://www.econbiz.de/10010091296
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Overviewing the transition of Markowitz bi-criterion portfolio selection to tri-criterion portfolio selection
Steuer, Ralph E.; Wimmer, Maximilian; Hirschberger, Markus - In: Journal of business economics : JBE 83 (2013) 1, pp. 61-85
Persistent link: https://www.econbiz.de/10009718381
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Overviewing the transition of Markowitz bi-criterion portfolio selection to tri-criterion portfolio selection
Steuer, Ralph E.; Wimmer, Maximilian; Hirschberger, Markus - In: Journal of business economics : JBE 83 (2013) 1, pp. 61-85
Persistent link: https://www.econbiz.de/10010074674
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Tri-criterion modeling for constructing more-sustainable mutual funds
Utz, Sebastian; Wimmer, Maximilian; Steuer, Ralph E. - In: European journal of operational research : EJOR 246 (2015) 1, pp. 331-338
Persistent link: https://www.econbiz.de/10011341641
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Portfolio selection in the presence of multiple criteria
Steuer, Ralph E.; Qi, Yue; Hirschberger, Markus - In: Handbook of financial engineering, (pp. 3-24). 2008
Persistent link: https://www.econbiz.de/10003753587
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Portfolio optimization : new capabilities and future methods
Steuer, Ralph E.; Qi, Yue; Hirschberger, Markus - In: Journal of business economics : JBE 76 (2006) 2, pp. 199-219
Persistent link: https://www.econbiz.de/10003287138