绿色金融视角下社会责任投资深度分析及模型拓展——基于投资组合选择的视角

基于绿色金融发展理念,回顾并且详细梳理了社会责任投资在我国的发展历程和研究现状,并作出评述。通过分析社会责任投资指数和社会责任公募基金的表现,发现二者在中长期的表现均劣于同期市场指数,表明我国社会责任投资的发展尚不成熟。创新性地构造2支社会责任投资指数,实证检验发现社会责任投资指数的表现优于同期市场指数,证明社会责任投资在我国还有很大的拓展空间。最后提出基于社会责任投资的多目标投资组合选择模型,并从约束条件和目标函数两个角度对该模型进行扩展和深化,为社会责任投资者提供了新的投资方法和量化工具。

The paper first makes a literal review of social responsibility investment in China about its development history and research status based on the concept of green finance development.Then by analyzing the performance of social responsibility investment indexes and public funds,we find that they have no obvious advantages in the medium and long terms compared with market indexes in the same period,and the performance of China’s social responsibility investment is still immature.Furthermore,by building social responsibility investment indexes innovatively,the paper finds that the social responsibility investment indexes perform better than the market indexes in the same period,which proves that social responsibility investment still has a lot of room for growth in our country.Finally,the paper proposes a multi-objective portfolio selection model based on social responsibility investment,and extends and deepens the model from the perspectives of constraint conditions and objective function,which provides a new investment method and quantitative tool for social responsibility investors.