000151423 001__ 151423 000151423 005__ 20250307114716.0 000151423 0247_ $$2doi$$a10.1186/s40854-025-00761-4 000151423 0248_ $$2sideral$$a143106 000151423 037__ $$aART-2025-143106 000151423 041__ $$aeng 000151423 100__ $$0(orcid)0000-0002-2525-9049$$aAlda, Mercedes$$uUniversidad de Zaragoza 000151423 245__ $$aImportance of portfolio optimization in SRI and conventional pension funds 000151423 260__ $$c2025 000151423 5060_ $$aAccess copy available to the general public$$fUnrestricted 000151423 5203_ $$aThis study assesses the portfolio concentration of socially responsible investment (SRI) pension funds, which may be subject to a potentially limited asset universe and have a higher concentration and lower performance than conventional funds. Nonetheless, in contrast to previous studies on SRI funds, this study considers the information-advantage theory, positing that skilled managers should increase their concentration in assets in which they possess valuable information, departing from optimization models to achieve outperformance. This study first compares actual fund concentration with concentration obtained from several traditional and modern portfolio optimization techniques (minimum variance, global minimum variance, optimal portfolio, naïve diversification, risk parity, and reward-to-risk timing) to understand whether SRI pension funds concentrate portfolios and deviate from optimization model solutions. Unlike previous studies, the actual fund assets are considered in the optimization models to take into account the real investment profiles of SRI funds. The results indicate that SRI pension funds are less concentrated than conventional funds, and SRI and conventional pension funds largely diversify their portfolios, presenting lower concentration than portfolios formed with the optimization models. Furthermore, concentration strategies positively influence performance in SRI and conventional funds, revealing the use of information advantage. However, SRI and conventional fund managers present poor skills (picking, timing, and trading) to exploit information advantages due to overconfidence issues, which affect performance with concentration strategies. This situation may be modified if SRI funds follow modern optimization models and conventional funds follow traditional optimization models, improving managers’ performance and skills. 000151423 536__ $$9info:eu-repo/grantAgreement/ES/AEI/PID2022-136818NB-I00$$9info:eu-repo/grantAgreement/ES/DGA/S38-20R$$9info:eu-repo/grantAgreement/ES/UZ-IBERCAJA/JIUZ-2022-CSJ-24$$9info:eu-repo/grantAgreement/ES/UZ/JIUZ-2021-SOC-03 000151423 540__ $$9info:eu-repo/semantics/openAccess$$aby$$uhttp://creativecommons.org/licenses/by/3.0/es/ 000151423 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion 000151423 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab. 000151423 773__ $$g11, 1 (2025)$$tFinancial Innovation$$x2199-4730 000151423 8564_ $$s1930337$$uhttps://zaguan.unizar.es/record/151423/files/texto_completo.pdf$$yVersión publicada 000151423 8564_ $$s2152076$$uhttps://zaguan.unizar.es/record/151423/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada 000151423 909CO $$ooai:zaguan.unizar.es:151423$$particulos$$pdriver 000151423 951__ $$a2025-03-07-09:34:17 000151423 980__ $$aARTICLE