The aim of this paper is to expand the methodological spectrum of socially responsible investing by introducing stochastic sustainability returns into safety first models for portfolio choice. We provide a foundation of the notion of sustainability in portfolio theory and establish a general...

Purpose – The purpose of this paper is to analyze the main motives of investors in allocating their money in a socially responsible (SR) way. Design/methodology/approach – The paper is based on primary data collected in a survey using an online questionnaire. This paper applies tests for...

This event study investigates the impact of the Japanese nuclear disaster in Fukushima-Daiichi on the daily stock prices of French, German, Japanese, and U.S. nuclear utility and alternative energy firms. Hypotheses regarding the (cumulative) abnormal returns based on a three-factor model are...

We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface. Until recently, it had not been possible to compute such a surface. But by using a...

The gradient allocation principle, which generalizes the most popular specific allocation principles, is commonly proposed in the literature as a means of distributing a financial institution's risk capital to its constituents. This paper is concerned with the axioms defining the coherence of...

We develop a quantitative model for structured microfinance instruments, which are regarded as an important means for refinancing microfinance institutions. The quantitative credit risk model presented takes into account the peculiarities of microfinance institutions and can be used for pricing...