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Safety first portfolio choice based on financial and sustainability returns

Dorfleitner, Gregor and Utz, Sebastian (2012) Safety first portfolio choice based on financial and sustainability returns. European Journal of Operational Research 221, pp. 155-164.

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Other URL: http://www.sciencedirect.com/science/article/pii/S0377221712001841?v=s5

Abstract

The aim of this paper is to expand the methodological spectrum of socially responsible investing by introducing stochastic sustainability returns into safety first models for portfolio choice. We provide a foundation of the notion of sustainability in portfolio theory and establish a general model for generalized safety first portfolio management with probabilistic constraints and three specializations of it. Moreover, we prove theorems about conditions for unique optimal solutions and for the constraints of one model being more restrictive than those of another.
In an empirical part, we calculate the costs of investing according to our approach in terms of less financial return.

Item Type:

Article

Institutions:

Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)

Interdisciplinary subject network:

Immobilien- und Kapitalmärkte

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