期刊
JOURNAL OF ASSET MANAGEMENT
卷 13, 期 6, 页码 384-400出版社
PALGRAVE MACMILLAN LTD
DOI: 10.1057/jam.2012.18
关键词
portfolio optimization; social returns; microfinance
资金
- German Research Foundation (DFG)
We complement the Markowitz portfolio theory by adding a social dimension. Every asset is assigned a social return, which is generally modeled as stochastic. We focus on the theoretical foundation and practical implications of portfolio choice with social returns. We apply the theoretical model to two different microfinance investments. First, we consider an investor who is risk-neutral in the social dimension and faces a small number of assets: an equity index, a bond index and a microfinance investment fund (MFIF). Second, we address the question of how MFIFs should allocate funds to microfinance institutions.
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