Risk Management Opportunities between Socially Responsible Investments and Selected Commodities
Daniel Cupriak , Katarzyna Kuziak , Tomasz Popczyk
AbstractSocially responsible investing (SRI) or sustainable, responsible, and impact investing is growing fast. The net total of SRI assets at the beginning of 2018 was USD 12.0 trillion. There is extensive literature on SRI, but very little of it relates to portfolio construction and risk management combining SRI and commodities. In this paper, the authors pay attention to model volatility and dynamic conditional correlations between SRI investment and selected representative of commodities. We state the following hypothesis: the potential to create portfolio and risk management opportunities exists between SRI and commodities such as grain, precious metals, and industrial metals. To verify this, modeling of volatility and dynamic conditional correlation (DCC) between pair of elements is necessary. Empirical research conducted for the global market based on selected indices for SRI and commodities confirms this hypothesis. These results can improve asset selection in portfolio construction and allow investors to make more reasonable decisions.
|Journal series||Sustainability, ISSN 2071-1050, (N/A 70 pkt)|
|Publication size in sheets||0.95|
|Keywords in English||socially responsible investing (SRI), sustainable; responsible and impact (SRI) investing; DCC; GARCH; risk diversification|
|ASJC Classification||; ;|
|Publication indicators||= 0; : 2016 = 0.911; : 2018 = 2.592 (2) - 2018=2.801 (5)|
|Uwaga||The project is financed by the Ministry of Science and Higher Education in Poland under the programme “Regional Initiative of Excellence” 2019–2022 project number 015/RID/2018/19 total funding amount 10 721 040,00 PLN.|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.