Optimal investment portfolio selection from the largest Ukrainian companies: comparative study of conventional and responsible portfolios

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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.

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    • Table 1. Individual studies of responsible and conventional portfolios
    • Table 2. Meta-studies of responsible and conventional portfolios
    • Table 3. Mathematical expectation of return and risk for shares of enterprises with implemented CSR strategies
    • Table 4. Mathematical expectation of return and risk for shares of ordinary companies
    • Table 5. Covariance matrix for responsible portfolio
    • Table 6. Covariance matrix for conventional portfolio
    • Table A1. The return of shares of companies with CSR strategies per month from February 2012 to January 2017, %
    • Table A2. The return of shares of ordinary companies per month from February 2012 to January 2017, %