The impact of a sustainability constraint on the mean-tracking error efficient frontier

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 119
Issue: 3
Pages: 255-260

Authors (3)

Boudt, Kris (Universiteit Gent) Cornelissen, Jonathan (not in RePEc) Croux, Christophe (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:119:y:2013:i:3:p:255-260
Journal Field
General
Author Count
3
Added to Database
2026-01-24