Safety first portfolio choice based on financial and sustainability returns

DOI10.1016/J.EJOR.2012.02.034zbMath1253.91165OpenAlexW2029613953MaRDI QIDQ1926833

Sebastian Utz, Gregor Dorfleitner

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://epub.uni-regensburg.de/19960/11/elsarticle-template-5-harv_supplemenatry_material_FoundationsofPortfolioTheory_Revision2.pdf

zbMATH Keywords

financesocially responsible investingsafety first investorsustainability value

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (11)

Chance-constrained problems and rare events: an importance sampling approach ⋮ Synthetic indicators of mutual funds' environmental responsibility: an application of the reference point method ⋮ Sustainable operations ⋮ Incorporating environmental and social considerations into the portfolio optimization process ⋮ Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model ⋮ Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market ⋮ A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints ⋮ Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment ⋮ Markowitz revisited: social portfolio engineering ⋮ Dynamic safety first expected utility model ⋮ Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

Cites Work

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• Multi-objective stochastic programming for portfolio selection
• A joint chance-constrained programming model with row dependence
• A framework for managing a portfolio of socially responsible investments.
• Portfolio selection with a new definition of risk
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• Generalized Safety First and a New Twist on Portfolio Performance
• An Extension of Shapiro and Wilk's W Test for Normality to Large Samples
• Some Concepts of Dependence
• Safety First and the Holding of Assets

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