In recent years, sustainable development and social responsibility have become important issues around the globe. Investors are interested in the so-called 'socially responsible investment' (SRI), an investment strategy that employs criteria other than financial risk and return when selecting firms in which to invest. The practice of SRI shows that there are growing numbers of investors who want to take account of more criteria. Given this worldwide trend, the question arises how these issues can be incorporated into the investment decision process. This paper proposes a novel integrated model for selecting SRI stocks and illustrates the practical application of such a model through a case study. This model first applied the decision making trial and evaluation laboratory (DEMATEL) approach to deal with the interdependencies existing among the criteria of organization requires, and then integrated the DEMATEL, the analytic network process, and the zero-one goal programming method to select an optimal portfolio of SRI. Additionally, we used the sustainability balanced scorecard as a multi-criteria framework for SRI evaluation. This integrated model enables the management to obtain the fitting SRI portfolio and achieves the desired spiritual value. Journal of the Operational Research Society (2009) 60, 1396-1410. doi:10.1057/jors.2008.91 Published online 17 September 2008
