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Title: The impact of a sustainability constraint on the mean-tracking error efficient frontier
Authors: Boudt, Kris ×
Cornelissen, Jonathan
Croux, Christophe #
Issue Date: 2013
Publisher: North Holland
Series Title: Economics Letters vol:119 issue:3 pages:255-260
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.
ISSN: 0165-1765
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
Research Center Finance, Leuven
Faculty of Economics and Business (FEB) - miscellaneous
Department of Financial Management, Campus Carolus Antwerp
× corresponding author
# (joint) last author

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