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Safety first portfolio choice based on financial and sustainability returns

Dorfleitner, Gregor and Utz, Sebastian (2011) Safety first portfolio choice based on financial and sustainability returns. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 452, Working Paper, Universität Regensburg. (Submitted)

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Date of publication of this fulltext: 02 Mar 2011 10:08

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Abstract

This paper lays the mathematical foundations of the notion of an investment's sustainability return and investigates three different models of portfolio selection with probabilistic constraints for safety first investors caring about the financial and the sustainability consequences of their investments. The discussion of these chance-constrained programming problems for stochastic and ...

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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:10 January 2011
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
RePEc:bay:rdwiwi:19914RePEc Handle
Keywords:Finance, Socially Responsible Investing, Sustainability Value, Safety First Investor
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Submitted
Refereed:No, this version has not been refereed yet (as with preprints)
Created at the University of Regensburg:Yes
Item ID:19914

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