Hirschberger, Markus Steuer, Ralph E. Utz, Sebastian Wimmer, Maximilian
Year of Publication:
SFB 649 discussion paper 2012-025
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 cannot find strong evidence of di erences between conventional and socially responsible mutual funds. In particular, the calculated risk tolerance parameters describing the real portfolio composition best show that socially responsible mutual funds may be even less concerned about the ESG-scores in the preference functional than conventional funds.