可持续性约束下的最小方差投资

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-08-28 DOI:10.1016/j.econlet.2025.112561

Marcel Marohn , Benjamin R. Auer

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引用次数: 0

摘要

由于最近传统投资组合理论的复兴以及投资者对将公司可持续性纳入其投资决策的兴趣日益浓厚，本文推导了具有可持续性约束的均值-方差投资组合优化设置中的全局最小方差投资组合的显式权重公式。此外，本文还确定了影响投资组合权重的可持续性约束必须满足的临界边界，并给出了重要的双资产优化情况的解析表达式。最后，一个补充的实证应用说明了有效限制对投资绩效和投资组合构成的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Minimum variance investing under sustainability constraints

Motivated by the recent rehabilitation of traditional portfolio theory and the growing interest of investors in integrating corporate sustainability into their investment decisions, this note derives the explicit weight formula of the global minimum variance portfolio in a mean–variance portfolio optimization setup with sustainability constraints. Additionally, it identifies the critical boundary a sustainability restriction must satisfy in order to affect portfolio weights and provides an analytic expression for the important two-asset optimization case. Finally, a supplementary empirical application illustrates the consequences of effective restrictions on investment performance and portfolio composition.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.