Optimal investment portfolio selection from the largest Ukrainian companies: comparative study of conventional and responsible portfolios
Open Access
- 5 September 2019
- journal article
- Published by LLC CPC Business Perspectives in Public and Municipal Finance
- Vol. 8 (1), 44-53
- https://doi.org/10.21511/pmf.08(1).2019.04
Abstract
This paper is devoted to the comparing stock portfolios of the largest conventional and responsible Ukrainian companies as the basis for substantiating the structure of an optimal investment portfolio in the current conditions of development of the financial market of Ukraine. The empirical basis of the research was the data of quotations of shares of 6 most liquid conventional and 6 responsible companies in the Ukrainian and Warsaw exchanges. The methodological basis of calculations was the classic Markowitz portfolio optimization model. The key hypothesis of the research was to check that the conventional investment portfolios of Ukrainian companies outperform the responsible investment portfolios by their parameters (return, risk). This hypothesis was rejected. The obtained results have not only theoretical significance – both the rationale for the threat of responsible investment in Ukraine and the applied value for market participants in terms of investment decisions making, taking into consideration the ESG criteria, and the formation of investment portfolios from shares of the responsible companies, the key parameters of which exceed the conventional portfolios.Keywords
This publication has 21 references indexed in Scilit:
- ESG and financial performance: aggregated evidence from more than 2000 empirical studiesJournal of Sustainable Finance & Investment, 2015
- Trends in the literature on socially responsible investment: looking for the keys under the lamppostBusiness Ethics: A European Review, 2012
- The Performance of Socially Responsible Funds: Does the Screening Process Matter?European Financial Management, 2012
- Beyond dichotomy: the curvilinear relationship between social responsibility and financial performanceStrategic Management Journal, 2006
- Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate MeasuresFinancial Management, 2006
- Do Socially Responsible Fund Managers Really Invest Differently?Journal of Business Ethics, 2006
- To sin or not to sin? Now that's the questionJournal of Asset Management, 2006
- Ethical investing in Australia: Is there a financial penalty?Pacific-Basin Finance Journal, 2006
- SOCIALLY RESPONSIBLE INVESTING AND PORTFOLIO DIVERSIFICATIONJournal of Financial Research, 2005
- Socially Responsible InvestingThe Journal of Investing, 2000