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.
This is the latest version of this item.
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.
|Institutions:||Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)|
|Research groups and research centres:||Immobilien- und Kapitalmärkte|
|Keywords:||Finance, Socially Responsible Investing, Sustainability Value, Safety First Investor|
|Subjects:||300 Social sciences > 330 Economics|
|Refereed:||Yes, this version has been refereed|
|Created at the University of Regensburg:||Yes|
|Deposited On:||07 Mar 2011 08:29|
|Last Modified:||25 Apr 2012 12:54|
Available Versions of this Item
Safety first portfolio choice based on financial and sustainability returns. (deposited 07 Mar 2011 08:26)
- Safety first portfolio choice based on financial and sustainability returns. (deposited 07 Mar 2011 08:29) [Currently Displayed]