Dorfleitner, Gregor and Utz, Sebastian (2012) Safety first portfolio choice based on financial and sustainability returns. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 221 (1). pp. 155-164. ISSN 0377-2217, 1872-6860
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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 specifications of it. Moreover, we prove theorems about conditions for unique optimal solutions and for the constraints of one model being more restrictive than those of another. In an empirical part, we calculate the costs of investing according to our approach in terms of less financial return. (C) 2012 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | SOCIALLY RESPONSIBLE INVESTMENT; SELECTION; PERFORMANCE; OBJECTIVES; DEPENDENCE; INVESTORS; BEHAVIOR; RISK; Finance; Socially responsible investing; Sustainability value; Safety first investor |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 11 May 2020 05:07 |
| Last Modified: | 11 May 2020 05:07 |
| URI: | https://pred.uni-regensburg.de/id/eprint/18292 |
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