Safety first portfolio choice based on financial and sustainability returns
Journal
European Journal of Operational Research
ISSN
0377-2217
Type
journal article
Date Issued
2012
Author(s)
Abstract (De)
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.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Elsevier
Volume
221
Number
1
Start page
155
End page
164
Subject(s)
Division(s)
Eprints ID
252090