A Framework for Managing a Portfolio of Socially Responsible Investments

24 Pages Posted: 18 Feb 2003

See all articles by Winfried G. Hallerbach

Winfried G. Hallerbach

Robeco Asset Management, Quantitative Investment Research

Haikun Ning

Erasmus Research Institute of Management (ERIM)

Aloy B.M. Soppe

Erasmus School of Law

J. Spronk

Erasmus Research Institute of Management (ERIM)

Multiple version iconThere are 2 versions of this paper

Date Written: April 2002 6,

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.

Keywords: socially responsible investments, portfolio management, social responsibility, SRI

JEL Classification: M, G3, G31

Suggested Citation

Hallerbach, Winfried George and Ning, Haikun and Soppe, Aloy B.M. and Spronk, Jaap, A Framework for Managing a Portfolio of Socially Responsible Investments (April 2002 6,). Available at SSRN: https://ssrn.com/abstract=370999

Winfried George Hallerbach

Robeco Asset Management, Quantitative Investment Research ( email )

Weena 850
Rotterdam, 3014 DA
Netherlands
+31102242316 (Phone)

HOME PAGE: http://www.robeco.com/quant

Haikun Ning

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Aloy B.M. Soppe

Erasmus School of Law ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Jaap Spronk (Contact Author)

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

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