Markowitz revisited: social portfolio engineering

DOI10.1016/j.ejor.2016.10.043zbMath1395.91404OpenAlexW3123538194MaRDI QIDQ1751765

Stephan M. Gasser, Margarethe Rammerstorfer, Karl Weinmayer

Publication date: 25 May 2018

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

Full work available at URL: http://epub.wu.ac.at/4677/1/SSRN%2Did2481987.pdf

zbMATH Keywords

portfolio optimizationfinanceinternational financial marketssocially responsible investments

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (9)

On outperforming social-screening-indexing by multiple-objective portfolio selection ⋮ Incorporating environmental and social considerations into the portfolio optimization process ⋮ Measuring the social responsibility of European companies: a goal programming approach ⋮ Portfolio instability and socially responsible investment: experiments with financial professionals and students ⋮ Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment ⋮ Portfolio optimization with entropic value-at-risk ⋮ CISEF: a composite index of social, environmental and financial performance ⋮ Applying least squares support vector machines to mean-variance portfolio analysis ⋮ Tailor-made thematic portfolios: a core satellite optimization

Cites Work

• Safety first portfolio choice based on financial and sustainability returns
• Constant and variable returns to scale DEA models for socially responsible investment funds
• Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
• Selection of Socially Responsible Portfolios Using Hedonic Prices
• Computing the Nondominated Surface in Tri-Criterion Portfolio Selection

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