In this paper we present and illustrate using real-life data a framework for managing an investment portfolio in which the investment opportunities are described in terms of a set of attributes and part of this set is intended to capture the effects on society. Here we link with the emerging literature on SRI: Socially Responsible Investment. Given the multivarious descriptions of the individual investment opportunities we show how these can be combined into portfolios with the same attributes at the portfolio level. Also we show how a manager can systematically be supported in the choice between different portfolio profiles. As part of the framework we use multi-criteria decision tools.

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The definition of Financial Modelling chosen by the EURO working group on financial modelling is 'the development and implementation of tools supporting firms, investors, intermediaries, governments and others in their financial-economic decision making, including the validation of the premises behind these tools and the measurement of the effectivity of the use of these tools'. Clearly, in this definition, the decision and its solution is central. Unlike financial modelling in our definition, the theory of finance is not so much concerned with individual decisions, but rather with the effects of the decisions and actions of many individuals on the formation of prices in financial markets. It is therefore no wonder that the assumptions underlying financial theory, which at best describe 'average individuals' and 'average decision situations', are not suited to describe specific individual decision problems. In our view it is the role of financial modelling to support individual decision making, taking account of the peculiarities of the actual case, where possible taking benefit from the results of the financial theory. This philosophy towards financial modelling is illustrated by a framework for portfolio management.

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For people working in finance, either in academia or in practice or in both, the combination of 'finance' and 'multiple criteria' is not obvious. However, we believe that many of the tools developed in the field of MCDM can contribute both to the quality of the financial economic decision making process and to the quality of the resulting decisions. In this paper we answer the question why financial decision problems should be considered as multiple criteria decision problems and should be treated accordingly.