A Framework for Managing a Portfolio of Socially Responsible Investments

European Journal of Operational Research, Vol. 153, pp. 517-529, 2004

Posted: 9 Jan 2004

See all articles by J. Spronk

J. Spronk

Erasmus Research Institute of Management (ERIM)

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

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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 multi-attribute 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.

Note: This is a description of the paper and not the actual abstract.

Keywords: Multi-criteria analysis, Portfolio management, Socially responsible investments (SRI), Sustainable development

Suggested Citation

Spronk, Jaap and Hallerbach, Winfried George and Ning, Haikun and Soppe, Aloy B.M., A Framework for Managing a Portfolio of Socially Responsible Investments. European Journal of Operational Research, Vol. 153, pp. 517-529, 2004. Available at SSRN: https://ssrn.com/abstract=480062

Jaap Spronk (Contact Author)

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

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

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