Theory of social returns in portfolio choice with application to microfinance

Gregor Dorfleitner, Michaela Leidl and Johannes Reeder
Additional contact information
Gregor Dorfleitner: University of Regensburg

Journal of Asset Management, 2012, vol. 13, issue 6, No 3, 384-400

Abstract: 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 social dimension and faces a small number of assets: an equity index, a bond index and a microfinance investment fund (MFIF). Second, we address the question of how MFIFs should allocate funds to microfinance institutions.

Keywords: portfolio optimization; social returns; microfinance (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://link.springer.com/10.1057/jam.2012.18 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:13:y:2012:i:6:d:10.1057_jam.2012.18

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/jam.2012.18

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().