Peylo, Benjamin Tobias. “A Synthesis of Modern Portfolio Theory and Sustainable Investment.” The Journal of Investing. Winter, 2012.
From the author's abstract: "Implemented in corporate strategies, the concept of sustainability with its synthesis between economical, social and ecological objectives can have a strong business case. In consequence, companies associated with sustainability-related products and ways of production become increasingly attractive investments – both from a financial and an ethical point of view.... [T]he homogenous implementation of sustainable investment into investment theory becomes desirable but has not yet been established. This article proposes a method based on the concept of multi-dimensional decision making. It enhances Markowitz’ Modern Portfolio Theory allowing the investor to define a flexible degree of sustainability as an additional optimization criterion in the portfolio selection process. The method is applied to the investment universe of the German stock market index (DAX) and is analyzed empirically over the period 2003-2010. The achieved results are significantly above the benchmark with respect to both performance and sustainability objectives..."