PhD Defence: Annebeth Roor

Abstract

In this dissertation, Annebeth examines how institutional investors manage the environmental and social impacts of their investment portfolios using four research methods. The literature review shows that although improving impact is widely discussed, there is still little research on how this can be implemented in investment practice. The conceptual study introduces an Integrated Strategic Asset Allocation framework, which enables investors to allocate assets based on expected risk, return and impact. It highlights that investment impact depends partly on investors’ decisions, as investments can either accelerate or slow down economic and societal transitions. The qualitative research identifies three cognitive frames used by investment professionals: the business case frame, the paradoxical frame, and the sustainability case frame. Each frame offers a distinct perspective on sustainability, demonstrating their collective importance in advancing investment practice. The presented framework shows how investment practice can be strengthened by building on these cognitive frames. The quantitative analysis shows that investments with higher negative SDG contributions tend to have higher excess returns, suggesting that SDG contributions may capture transition risk. Finally, the synthesis proposes ways to improve how investment impacts are measured and managed.