Author： Dorfleitner Gregor Leidl Michaela Reeder Johannes
Publisher： Palgrave Macmillan Ltd
ISSN： 1479-179X
Source： Journal of Asset Management, Vol.13, Iss.6, 2012-12, pp. : 384-400
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Abstract
We complement the Markowitz portfolio theory by adding a social dimension. Every asset is assigned a social return, which is generally modeled as stochastic. We focus on the theoretical foundation and practical implications of portfolio choice with social returns. We apply the theoretical model to two different microfinance investments. First, we consider an investor who is risk-neutral in the social dimension and faces a small number of assets: an equity index, a bond index and a microfinance investment fund (MFIF). Second, we address the question of how MFIFs should allocate funds to microfinance institutions.
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