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dc.contributor.authorHoss, Andrew
dc.date.accessioned2014-03-04T20:02:49Z
dc.date.available2014-03-04T20:02:49Z
dc.date.issued2011-08
dc.identifier.otherhoss_andrew_201108_ms
dc.identifier.urihttp://purl.galileo.usg.edu/uga_etd/hoss_andrew_201108_ms
dc.identifier.urihttp://hdl.handle.net/10724/27478
dc.description.abstractThe goal of this thesis is to provide an effective tool for screening a stock portfolio, with socially responsible investment (SRI) in mind, using efficient frontier models. Data envelopment analysis (DEA) has been used previously to build SRI portfolios, but this thesis shows that free disposal hull (FDH), a similar model which does not assume the convexity of the decision-making units, yields superior results when applied to a stock universe of 253 Korean companies. Over a four-year time span from 2006 to 2009, portfolios selected using the FDH method consistently outperform those selected using DEA with both variable returns to scale and constant returns to scale assumptions.
dc.languageeng
dc.publisheruga
dc.rightspublic
dc.subjectSocially responsible investment
dc.subjectcorporate social responsibility
dc.subjectfrontier model
dc.subjectdata envelopment analysis
dc.subjectfree disposal hull
dc.subjectportfolio.
dc.titleAssessment of nonparametric frontier models applied to socially responsible investment
dc.typeThesis
dc.description.degreeMS
dc.description.departmentStatistics
dc.description.majorStatistics
dc.description.advisorCheolwoo Park
dc.description.committeeCheolwoo Park
dc.description.committeeT. N. Sriram
dc.description.committeeLynne Seymour


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