Resumo

MACIAS-TREJO, Luis Guadalupe; LOPEZ-HERRERA, Francisco  e  DE LA TORRE-TORRES, Oscar Valdemar. The mean-variance efficiency of an overweight portfolio in socially responsible actions in Mexico and in United States. estud.gerenc. [online]. 2020, vol.36, n.154, pp.91-99. ISSN 0123-5923.  https://doi.org/10.18046/j.estger.2020.154.3476.

This article reviews the benefits for an investor with a portfolio that invests in both a market index and socially responsible investment (SRI) stocks, that is diversified in the United States and Mexico. By using the Markowitz standard model with daily historical return data of the S&P 500, the Dow Jones Sustainability, the Price and Quotation Index (PQI), and the PQI sustainability index, it was found that to overweight in SRI stocks leads to a better mean-variance efficiency in both countries, in a comparison with a portfolio replicating the level of investment of SRI stocks of the previously mentioned market indices. The results presented contribute to refute the theoretical position that benefits and profitability are lost if the preference is given to the SRI, in comparison with a conventional portfolio or market index.

Palavras-chave : portfolio theory; portfolio selection; international diversification; socially responsible investment.

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