Title: A portfolio analysis approach to assist socially responsible investors in making decisions

Authors: Ahmed Ouenniche; Jamal Ouenniche; Bouchra M'zali; Blanca Pérez-Gladish

Addresses: Chaire de la Responsabilité Sociale et de Développement Durable, UQAM, Case postale 8888, succursale Centre-ville, Montreal, Quebec, H3C 3P8, Canada ' Business School, The University of Edinburgh, 29 Buccleuch Place, Edinburgh, EH8 9JS, UK ' Department of Strategy, Social and Environmental Responsibility, ESG-CRSDD-UQAM, Case postale 8888, succursale Centre-ville, Montreal, Quebec, H3C 3P8, Canada ' Dpto. Economía Cuantitativa, Facultad de Economía y Empresa, Universidad de Oviedo, avda. Del Cristo s/n, Oviedo, Asturias, 33006, Spain

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.

Keywords: portfolio analysis; social responsibility; financial performance; investment decisions; decision making; mathematical modelling.

DOI: 10.1504/IJOR.2016.078940

International Journal of Operational Research, 2016 Vol.27 No.3, pp.469 - 501

Received: 10 Apr 2014
Accepted: 11 Oct 2014
Published online: 06 Sep 2016 *

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