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Safety first portfolio choice based on financial and sustainability returns

URN to cite this document:
urn:nbn:de:bvb:355-epub-199142
Dorfleitner, Gregor ; Utz, Sebastian

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


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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