IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v22y2012i21p1827-1840.html
   My bibliography  Save this article

Optimal responsible investment

Author

Listed:
  • Pernille Jessen

Abstract

The article examines responsible investment portfolio allocation. The analysis defines an investor-specific measure of portfolio responsibility and incorporates this measure into two different conventional investment approaches. First, investor utility theory describes preferences for portfolio responsibility. The utility setup is intuitive; however, any implementation would require information on investor trade-offs between portfolio risk, expected return and responsibility. Second, mean-variance analysis captures portfolio responsibility with an additional restriction on the investment problem. This approach yields analytical solutions for the optimal responsible investment problem and provides a sensitivity analysis of the required portfolio responsibility. An example concerning index investment corroborates the results.

Suggested Citation

  • Pernille Jessen, 2012. "Optimal responsible investment," Applied Financial Economics, Taylor & Francis Journals, vol. 22(21), pages 1827-1840, November.
    • Handle: RePEc:taf:apfiec:v:22:y:2012:i:21:p:1827-1840
    DOI: 10.1080/09603107.2012.684786
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/09603107.2012.684786
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603107.2012.684786?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Escobar-Anel, Marcos, 2022. "Multivariate risk aversion utility, application to ESG investments," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    2. Dorfleitner, Gregor & Oswald, Eva-Maria & Röhe, Michaela, 2020. "The access of microfinance institutions to financing via the worldwide crowd," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 133-146.
    3. Aydin Aslan & Peter N. Posch, 2022. "How Do Investors Value Sustainability? A Utility-Based Preference Optimization," Sustainability, MDPI, vol. 14(23), pages 1-15, November.
    4. Massimiliano Kaucic & Filippo Piccotto & Gabriele Sbaiz & Giorgio Valentinuz, 2023. "Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(4), pages 1-4.
    5. Gregor Dorfleitner & Mai Nguyen, 2017. "A new approach for optimizing responsible investments dependently on the initial wealth," Journal of Asset Management, Palgrave Macmillan, vol. 18(2), pages 81-98, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:21:p:1827-1840. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.