A portfolio analysis approach to assist socially responsible investors in making decisions
by Ahmed Ouenniche; Jamal Ouenniche; Bouchra M'zali; Blanca Pérez-Gladish
International Journal of Operational Research (IJOR), Vol. 27, No. 3, 2016

Abstract: The main research question addressed in this paper is concerned with the cost of being a socially responsible investor. The purpose of this research is to propose a portfolio analysis approach to address this question in an attempt to assist socially responsible investors, including portfolio managers, in making investment decisions. To be more specific, we use modern portfolio theory to construct and compare efficient frontiers of portfolios, where each portfolio is a solution to either the basic Markowitz's mathematical model or to some variant or extension of it including a socially responsible concern. Our empirical results show the cost of being a socially responsible investor nowadays.

Online publication date: Tue, 06-Sep-2016

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