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Safety first portfolio choice based on financial and sustainability returns

Citations

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Cited by:

  1. Hirschberger, Markus & Steuer, Ralph E. & Utz, Sebastian & Wimmer, Maximilian, 2012. "Is socially responsible investing just screening? Evidence from mutual funds," SFB 649 Discussion Papers 2012-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Iulia LUPU & Gheorghe HURDUZEU & Mariana NICOLAE, 2016. "Connections Between Sentiment Indices And Reduced Volatilities Of Sustainability Stock Market Indices," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 157-174.
  3. Gallucci, Carmen & Santulli, Rosalia & Lagasio, Valentina, 2022. "The conceptualization of environmental, social and governance risks in portfolio studies A systematic literature review," Socio-Economic Planning Sciences, Elsevier, vol. 84(C).
  4. Cabello, J.M. & Ruiz, F. & Pérez-Gladish, B. & Méndez-Rodríguez, P., 2014. "Synthetic indicators of mutual funds’ environmental responsibility: An application of the Reference Point Method," European Journal of Operational Research, Elsevier, vol. 236(1), pages 313-325.
  5. Bilbao-Terol, Amelia & Arenas-Parra, Mar & Cañal-Fernández, Verónica, 2016. "A model based on Copula Theory for sustainable and social responsible investments," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 19(1), pages 55-76.
  6. Sebastian Utz, 2019. "Corporate scandals and the reliability of ESG assessments: evidence from an international sample," Review of Managerial Science, Springer, vol. 13(2), pages 483-511, April.
  7. Koenigsmarck, Markus & Geissdoerfer, Martin, 2023. "Shifting the Focus to Measurement: A Review of Socially Responsible Investing and Sustainability Indicators," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 136617, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  8. Calvo, Clara & Ivorra, Carlos & Liern, Vicente, 2015. "Finding socially responsible portfolios close to conventional ones," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 52-63.
  9. Gregor Dorfleitner & Sebastian Utz & Rongxin Zhang, 2022. "The pricing of green bonds: external reviews and the shades of green," Review of Managerial Science, Springer, vol. 16(3), pages 797-834, April.
  10. Christin Nitsche & Michael Schröder, 2018. "Are SRI funds conventional funds in disguise or do they live up to their name?," Chapters, in: Sabri Boubaker & Douglas Cumming & Duc K. Nguyen (ed.), Research Handbook of Investing in the Triple Bottom Line, chapter 19, pages 414-446, Edward Elgar Publishing.
  11. 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.
  12. García-Bernabeu, A. & Pla-Santamaria, D. & Bravo, M. & Pérez-Gladish, B., 2015. "La protección medioambiental como criterio en la selección de inversiones socialmente responsables: una aproximación multicriterio," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, vol. 15(01).
  13. Garcia-Bernabeu, Ana & Hilario-Caballero, Adolfo & Tardella, Fabio & Pla-Santamaria, David, 2024. "ESG integration in portfolio selection: A robust preference-based multicriteria approach," Operations Research Perspectives, Elsevier, vol. 12(C).
  14. Gasser, Stephan M. & Rammerstorfer, Margarethe & Weinmayer, Karl, 2017. "Markowitz revisited: Social portfolio engineering," European Journal of Operational Research, Elsevier, vol. 258(3), pages 1181-1190.
  15. Petrillo, Antonella & De Felice, Fabio & García-Melón, Mónica & Pérez-Gladish, Blanca, 2016. "Investing in socially responsible mutual funds: Proposal of non-financial ranking in Italian market," Research in International Business and Finance, Elsevier, vol. 37(C), pages 541-555.
  16. Amelia Bilbao-Terol & Mar Arenas-Parra & Raquel Quiroga-García & Celia Bilbao-Terol, 2024. "Is investing in the renewable energy stock market both financially and ESG efficient? A COVID-19 pandemic analysis," Review of Managerial Science, Springer, vol. 18(7), pages 1885-1916, July.
  17. Falko Paetzold & Timo Busch & Sebastian Utz & Anne Kellers, 2022. "Between impact and returns: Private investors and the sustainable development goals," Business Strategy and the Environment, Wiley Blackwell, vol. 31(7), pages 3182-3197, November.
  18. repec:hum:wpaper:sfb649dp2012-025 is not listed on IDEAS
  19. 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.
  20. Gregor Dorfleitner & Michaela Leidl & Johannes Reeder, 2012. "Theory of social returns in portfolio choice with application to microfinance," Journal of Asset Management, Palgrave Macmillan, vol. 13(6), pages 384-400, December.
  21. Julian Amon & Margarethe Rammerstorfer & Karl Weinmayer, 2021. "Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors," Sustainability, MDPI, vol. 13(16), pages 1-21, August.
  22. Amelia Bilbao-Terol & Mar Arenas-Parra & Verónica Cañal-Fernández & Celia Bilbao-Terol, 2016. "Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment," Annals of Operations Research, Springer, vol. 247(2), pages 549-580, December.
  23. Mónica García-Melón & Blanca Pérez-Gladish & Tomás Gómez-Navarro & Paz Mendez-Rodriguez, 2016. "Assessing mutual funds’ corporate social responsibility: a multistakeholder-AHP based methodology," Annals of Operations Research, Springer, vol. 244(2), pages 475-503, September.
  24. Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2018. "Dynamic safety first expected utility model," European Journal of Operational Research, Elsevier, vol. 271(1), pages 141-154.
  25. Amelia Bilbao-Terol & Mar Arenas-Parra & Verónica Cañal-Fernández & Mariano Jiménez, 2016. "A sequential goal programming model with fuzzy hierarchies to sustainable and responsible portfolio selection problem," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 67(10), pages 1259-1273, October.
  26. Utz, Sebastian & Wimmer, Maximilian & Hirschberger, Markus & Steuer, Ralph E., 2014. "Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds," European Journal of Operational Research, Elsevier, vol. 234(2), pages 491-498.
  27. Guido Abate & Ignazio Basile & Pierpaolo Ferrari, 2024. "The integration of environmental, social and governance criteria in portfolio optimization: An empirical analysis," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(3), pages 2054-2065, May.
  28. K. Liagkouras & K. Metaxiotis & G. Tsihrintzis, 2022. "Incorporating environmental and social considerations into the portfolio optimization process," Annals of Operations Research, Springer, vol. 316(2), pages 1493-1518, September.
  29. Markus Hirschberger & Ralph E. Steuer & Sebastian Utz & Maximilian Wimmer & Yue Qi, 2013. "Computing the Nondominated Surface in Tri-Criterion Portfolio Selection," Operations Research, INFORMS, vol. 61(1), pages 169-183, February.
  30. Markus Koenigsmarck & Martin Geissdoerfer, 2023. "Shifting the Focus to Measurement: A Review of Socially Responsible Investing and Sustainability Indicators," Sustainability, MDPI, vol. 15(2), pages 1-24, January.
  31. 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.
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