Sustainable investing is causing a paradigm shift in investment management, as it introduces new objectives beyond risk and return. I’ll show Markowitz’ classic Modern Portfolio Theory can be extended mathematically to incorporate multiple goals into portfolio construction. We discuss how this can affect an investor’s decision-making process.

Rogier Swierstra is a Total Portfolio Manager at PGGM. After doing a PhD in mathematics (2008), he was a risk modeller at PGGM and RBS picking up the pieces of the crisis before turning to advisory roles in asset allocation, recently focused on investing for the new pension contract.