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Theory of social returns in portfolio choice with application to microfinance

Dorfleitner, Gregor ; Leidl, Michaela ; Reeder, Johannes

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Date of publication of this fulltext: 17 Sep 2012 12:21


Abstract

We complement the Markowitz portfolio theory by adding a social dimension. Every asset is assigned a social return, which is generally modeled as stochastic. We focus on the theoretical foundation and practical implications of portfolio choice with social returns. We apply the theoretical model to two different microfinance investments. First, we consider an investor who is risk-neutral in the ...

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