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A Framework for Managing a Portfolio of Socially Responsible InvestmentsWinfried G. HallerbachRobeco Asset Management, Quantitative Strategies Haikun NingErasmus Research Institute of Management (ERIM) Aloy B.M. SoppeErasmus School of Law J. SpronkErasmus Research Institute of Management (ERIM) April 2002 6, ERIM Report Series Reference No. ERS-2002-54-F&A Abstract: In this paper we present and illustrate using real-life data a framework for managing an investment portfolio in which the investment opportunities are described in terms of a set of attributes and part of this set is intended to capture the effects on society. Here we link with the emerging literature on SRI: Socially Responsible Investment.Given the multifarious descriptions of the individual investment opportunities we show how these can be combined into portfolios with the same attributes at the portfolio level. Also we show how a manager can systematically be supported in the choice between different portfolio profiles. As part of the framework we use multi-criteria decision tools.
Number of Pages in PDF File: 24 Keywords: socially responsible investments, portfolio management, social responsibility, SRI JEL Classification: M, G3, G31 working papers seriesDate posted: February 18, 2003Suggested CitationContact Information
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