Selección de Carteras de Fondos de Inversión Socialmente Responsables mediante Programación por Metas con Tecnología Difusa

  1. Bilbao Terol, Amelia María 1
  2. Arenas Parra, María del Mar 1
  3. Rodríguez Uría, María Victoria 1
  4. Cañal Fernández, Verónica 1
  1. 1 Universidad de Oviedo
    info

    Universidad de Oviedo

    Oviedo, España

    ROR https://ror.org/006gksa02

Journal:
Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

ISSN: 1575-605X

Year of publication: 2009

Volume: 10

Issue: 1

Pages: 29-57

Type: Article

DIALNET GOOGLE SCHOLAR lock_openDialnet editor

More publications in: Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

Abstract

In this study a portfolio optimization framework has been developed, taking into account not only conventional financial objectives: maximize the wealth at the end of inversion period, maximize the net profits, or the maximize relative wealth, etc. but also additional ones known as "socially responsible", associated to the effects of issuer companies over the Society. The term "Socially Responsible Investment" (SRI) describes the investment process which considers environmental, social, and ethical or governance features of portfolio components. The classical portfolio selection process stands into the usual fundamental investment selection and management process, but a problem arises in considering these types of criteria: how to measure the social responsibility attractiveness of individual mutual funds for each investor. The multidimensional nature of the portfolio selection problem and imprecision on ethical considerations lead us to work with techniques of Fuzzy Multiple Criteria Decision Making (MCDM) and the evaluation of financial criteria have handled using the expected return and Conditional Value-at-Risk (CVaR). All the financial and ethical criteria are incorporated into a Goal Programming model.

Bibliographic References

  • ARTZNER, P.; DELBAEN, F.; EBER, J.M. y HEATH, D. (1999). “Coherent Measures of Risk”. Mathematical Finance, 9, pp. 203-228.
  • BARNETT, M. y SALOMON, R. (2006). “Beyond Dichotomy: the Curvilinear Relationship Between Social Responsibility and Financial Performance”, Strategic Management Journal, 27, pp.1101-1122.
  • BARRACHINI, C. (2004). “An ethical investments evaluation for portfolio selection”. Electronic Journal of Business, Ethics and Organization Studies, 9(1): (2004). Available online http://ejbo.jyu.fi Funds: a DEA Approach”, Journal of the Operational Research Society, 54, pp.521- 531.
  • CHARNES, A. y COOPER, W.W. (1961). Management Models and Industrial Applications of Linear Programming. Vol. I, Wiley, New York.
  • DELGADO, M.; VILA, M.A. y VOXMAN, W. (1998). “On a Canonical Representation of Fuzzy Numbers”. Fuzzy Sets and Systems, 93, pp. 125-135.
  • KEMPF, A. y OSTHOFF, P. (2008). “SRI Funds: Nomen est Omen”, Journal of Business Finance & Accounting, 35(9), pp. 1276-1294.
  • MANSINI, R.; OGRYCZAK, W. y SPERANZA, M.G. (2007). “Conditional value at risk and related linear programming models for portfolio optimization”. Annals of Operations Research 152, pp. 227-256.
  • PALMQUIST, J.; URYASEV, S. Y KROKHMAL, P. (1999): “Portfolio optimization with conditional value-at-risk objective and constraints”, Research report 99-14. Department of Industrial and Systems Engineering, University of Florida.
  • PFLUG, G.CH. (2000). “Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk”. In S.Uryasev (ed.), Probabilistic Constrained Optimization: Methodology and Applications, Dordrecht: Kluwer A.P., pp. 272–281.
  • ROCKAFELLAR, R.T. y URYASEV, S. (2000). “Optimization of conditional value-at-risk”. Journal of Risk 2, pp. 21-41.
  • ZADEH, L.A.(1965). “Fuzzy sets”. Information and Control, 8(3), pp.338- 353.
Data source: Dialnet