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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 ...

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Item Type:Article
Date:August 2012
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Research groups and research centres:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
10.1016/j.ejor.2012.02.034DOI
Keywords:Finance, Socially Responsible Investing, Sustainability Value, Safety First Investor
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Owner: Sebastian Utz
Deposited On:07 Mar 2011 08:29
Last Modified:13 Mar 2014 18:39
Item ID:19960

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