Safety first portfolio choice based on financial and sustainability returns
AbstractThis 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 deterministic sustainability returns includes theoretical results especially on the existence of a unique solution under certain conditions, an illustrating example, and a computational time analysis. Furthermore, we conclude that a simple convex combination of financial and sustainability returns - yielding a new univariate decision variable - is not sufficiently general.
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Bibliographic InfoPaper provided by University of Regensburg, Department of Economics in its series University of Regensburg Working Papers in Business, Economics and Management Information Systems with number 452.
Date of creation: 10 Jan 2011
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Finance; Socially Responsible Investing; Sustainability Value; Safety First Investor;
Other versions of this item:
- Dorfleitner, Gregor & Utz, Sebastian, 2012. "Safety first portfolio choice based on financial and sustainability returns," European Journal of Operational Research, Elsevier, vol. 221(1), pages 155-164.
- NEP-ALL-2011-03-12 (All new papers)
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ERIM Report Series Research in Management
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