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| Author: | Drut, B. |
| Title: | Sovereign bonds and socially responsible investment |
| Journal: | Journal of Business Ethics
2010 : VOL. 92, SUPPL. 1, p. 131-145 |
| Index terms: | social responsibility investments portfolio selection bonds international |
| Language: | eng |
| Abstract: | This article examines how the mean-variance efficient frontier defined by sovereign bonds of 20 developed countries is affected by the consideration of socially responsible (SR) indicators for countries in investment decision-making. As to a global rating of SR performances, it is shown to be possible to build portfolios with an increased average rating without remarkably harming the risk/return relationship. This result differs when dealing with sub-ratings related to the environment, social concerns and public governance. The results suggest that SR portfolios of sovereign bonds can be built without a significant loss of mean-variance efficiency. |
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