Utz et al (2014)
Utz Sebastian, Maximilian Wimmer, Markus Hirschberger, Ralph E. Steuer. “Are socially responsible mutual funds doing all they can? Apparent unused opportunity for second-stage ESG enhancement.” [Earlier version seen under title “Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds.”] Working paper (University of Regensburg, Germany), 2014.
From authors' abstract: "We present a framework for optimization in a Markowitz portfolio model that is extended to a third criterion. The third criterion (herein social responsibility) causes the traditional efficient frontier to become a surface. Until recently, it had not been possible to compute the efficient surface of tri-criterion portfolio selection problem. But by using a new tool for the purpose, we are able to compute for given funds, the implied risk tolerances for expected return and social responsibility needed in the study of this paper."