All forms of social entrepreneurship need to achieve their social missions through well-defined solution models, and the literature has underscored the institution-building dimension of solution models adopted by social purpose organizations (Austin et al. 2006; Mair and Marti, 2006; Zahra, 2008). The notion of institutional innovation, however, gives rise to a theoretical puzzle, defined as the paradox of embedded agency (Holm, 1995; Seo and Creed, 2002). That is, while the hostility or inadequacy of institutional environment justifies the creation of institution-building social ventures, unfriendly or resource-constraint institutional environment may threaten the very survival and growth of those change agents. The question then becomes how social investors, particularly the emerging venture philanthropy funds, make investment decisions on institutional innovations. Do they follow the same logic of business investors to prefer investments in institution-building organizations only in supportive contexts? Do different dimensions of institutional environment have different impacts on investment choices?