文章基本信息

标题：An Examination of the Diversification Benefits of SRI in a Portfolio Context
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作者：Sophia X.N. Bian ; Victor Wong
期刊名称：Journal of Energy Technologies and Policy
印刷版ISSN：2225-0573
电子版ISSN：2225-0573
出版年度：2013
卷号：3
期号：11
页码：397-407
语种：English
出版社：Journal of Energy Technologies and Policy
摘要：This paper examines diversification benefits of Socially Responsible Investment (SRI) in a portfolio context. SRIs have been documented with lower volatility, while not sacrificing returns as compared to mainstream shares. Two portfolios are formed from Australian investors' perspective using daily data from 1994 to 2012 and are compared against each other; one portfolio consisting of SRI with mainstream shares and bonds and another without SRI. Our results confirm the benefits of SRI in a portfolio with a higher efficient frontier and the SRI portfolio obtained higher risk-adjusted return with lower value-at-risk. The findings are useful to SRI investors and fund managers who have interest in diversifying their portfolios into SRI.
关键词：socially responsible investments; portfolio; Australian perspective