Socially responsible investment and portfolio selection.

Summary This thesis investigates the theoretical and empirical consequences of considering socially responsible indicators in traditional portfolio selection. The first chapter studies the significance of the loss of mean-variance efficiency of a sovereign bond portfolio when a constraint is introduced on the average socially responsible rating of governments. Using a sample of developed government bonds over the period 1995-2008, we show that it is possible to significantly increase the average socially responsible rating without losing significantly in terms of diversification. The second chapter proposes a theoretical analysis of the effect on the efficient frontier of a constraint on the socially responsible rating of the portfolio. We highlight the different scenarios that can occur depending on the correlation between expected returns and socially responsible ratings and the investor's risk aversion. Finally, since the question of the efficiency of portfolios invested according to socially responsible criteria is debated in the financial literature, a last chapter proposes a new mean-variance efficiency test in the realistic case where no risk-free asset is available.