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Safety first portfolio choice based on financial and sustainability returns

Dorfleitner, Gregor ; Utz, Sebastian

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Date of publication of this fulltext: 07 Mar 2011 08:29


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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