ABSTRACT The main goal of this paper is to propose a methodology for selecting investment portfolios designed to generate financial returns and a socio-environmental impact. This work suggests a seven-step protocol that prioritizes the use of scientific evidence, quality data sources and the interdependence of investment alternatives. In particular, it proposes a multi-objective evolutionary optimization model to estimate the efficient frontier and select the portfolio according to the decision maker’s preferences. By an innovative extension of the concept of portfolio diversification, already well understood in traditional portfolio management, this study concludes that it is possible for impact investors to build more efficient portfolios. Due to the scarcity of similar studies in the literature and the rare use of rigorous methods for implementing impact investments, this study, therefore, presents an academic contribution to the field and illustrates the use of the proposed methodology to improve management decisions.