Socially responsible investment: mutual funds portfolio selection using fuzzy multiobjective pro-gramming

Zusammenfassung

This paper proposes a three-stage decision making model for mutual funds portfolio selection taking into account, not only classical criteria (risk and return), but also socially responsible ones. Portfolio selection is, due to its specific characteristics, a multicriteria decision making problem. Nevertheless, portfolio selection¿s classical theory only takes into account criteria related to the portfolio¿s return and risk and does not include environmental, ethical or social criteria which due to their nature are usually expressed by the investor in a qualitative, linguistic and/or imprecise way. In this context, Fuzzy Multicriteria Decision Making techniques seem to be suitable techniques for solving the portfolio selection problem including several criteria such as return, risk and socially responsible criteria, among other. This work aims to be a contribution to the resolution of that problem. In order to select an optimal portfolio composed by ethical and non ethical mutual funds, a fuzzy multi-criteria model has been proposed which takes into account, not only the classical portfolio selection criteria but also other criteria as the ethical profile of the portfolio obtained from the definition of an ethical index which is built for each investor taking into account his/her individual ethical preferences. The proposed model allows then the consideration of non-standard investors.