Safety first portfolio choice based on financial and sustainability returns

Gregor Dorfleitner and Sebastian Utz

No 452, University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics

Abstract: This 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.

Keywords: Finance; Socially Responsible Investing; Sustainability Value; Safety First Investor (search for similar items in EconPapers)
Date: 2011-01-10
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Safety first portfolio choice based on financial and sustainability returns (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:bay:rdwiwi:19914

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