Jun 25, 2019; Colloquium
Colloquium: "Integrated Ethical Portfolio Selection"
Speaker(s)
Sebastian Utz (Universität St. Gallen)
Start and end time
06:15 PM
-
07:45 PM
Location
Festsaal der Fakultät Wirtschaftswissenschaft, Hülße-Bau, 3. Etage Nordflügel
Address
Helmholtzstr. 10, 01069 Dresden
Abstract:
We propose an integrated portfolio selection model for ethical investors to align their portfolio decision with their financial and ethical investment objectives. We show empirically based on a unique real-world investment universe of an ethical bank that investors' preferences of allocating money in financial-ethical-efficient portfolios can be best implemented in an integrated holistic approach. Portfolios constructed using tools from a certain area of multiple criteria optimization do not underperform financially yet outperform existing approaches along the ethical dimension.