Dorfleitner, Gregor and Leidl, Michaela and Reeder, Johannes (2011) Theory of social returns in portfolio choice with application to microfinance. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 455, Working Paper.
We complement standard portfolio theory à la Markowitz by adding a social dimension. We distinguish between two main setups, taking social returns as stochastic in the first, but as deterministic in the second. Two main features need to be introduced: Every asset must be assigned a (distribution of) social return(s) and the investor has to cherish social returns. The former comes with measurement problems, whereas the latter is mainly a problem of choice of a suitable utility representation. The focus of this paper is on the theoretical fundamentals and the practical implications of social returns. We apply each version of the theoretical model to a different realm. In the deterministic setup, we look at an investor who faces a small number of assets: the S&P Euro Index, the EuroMTS Global Index, and the responsAbility Global Microfinance Fund, in which we assign a social return only to the microfinance investment fund. In the second application with stochastic social returns, we propose a new measure of social returns in microfinance and address the question concerning how microfinance investment funds should allocate funds to microfinance institutions.
|Item Type:||Monograph (Working Paper)|
|Institutions:||Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)|
|Research groups and research centres:||Immobilien- und Kapitalmärkte|
|Subjects:||300 Social sciences > 330 Economics|
|Created at the University of Regensburg:||Yes|
|Deposited On:||08 Jun 2011 06:44|
|Last Modified:||24 Sep 2012 13:17|
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