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."

Link:  http://epub.uni-regensburg.de/27888/1/preprint12Mar13.pdf