La protección medioambiental como criterio en la selección de inversiones socialmente responsablesuna aproximación multicriterio

  1. Ana García-Bernabeu
  2. David Pla-Santamaría
  3. Mila Bravo
  4. Blanca Pérez-Gladish
Revista:
Economía agraria y recursos naturales

ISSN: 1578-0732

Año de publicación: 2015

Volumen: 15

Número: 1

Páginas: 101-112

Tipo: Artículo

DOI: 10.7201/EARN.2015.01.06 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Otras publicaciones en: Economía agraria y recursos naturales

Resumen

La mayor concienciación medioambiental y ética de empresas y organizaciones se traslada también a la selección de carteras. En esta nota se propone un modelo multicriterio de programación por metas para la selección de carteras incorporando a los criterios clásicos financieros, criterios mediambientales.

Referencias bibliográficas

  • Arrow, K. (1965). Aspects of the theory of risk-bearing. Academic Bookstore, Helsinki.
  • Ballestero, E. y Romero, C. (1998). Multiple Criteria Decision Making and its Applications to Economic Problems. Kluwer Academic Publishers, Boston.
  • Ballestero, E. (2001). "Stochastic goal programming: A mean-variance approach". European Journal of Operational Research, 131(3): 476-481. http://doi.org/b2m3cc.
  • Ballestero, E. (2005). "Using stochastic goal programming: Some applications to management and a case of industrial production". INFOR-Information Systems and Operational Research, 43(2): 63-78.
  • Ballestero, E., Bravo, M., Pérez-Gladish, B., Arenas-Parra, M. y Plà-Santamaria, D. (2012). "Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives". European Journal of Operational Research, 216(2): 487-494. http://doi.org/c42zjt.
  • Ballestero, E., Pérez-Gladish, B. y García-Bernabeu, A. (2015). Socially Responsible Investment: A Multi-Criteria Decision Making Approach. Springer, New York.
  • Bauer, R., Koedijk, K. y Otten, R. (2005). "International evidence on ethical mutual fund performance and investment style". Journal of Banking & Finance, 29(7): 1751-1767. http://doi.org/c3fw3s.
  • Bilbao-Terol, A., Arenas-Parra, M. y Cañal-Fernández, V. (2012). "Selection of socially responsible portfolios using goal programming and fuzzy technology". Information Sciences, 189: 110-125. http://doi.org/crw7pw.
  • Bilbao-Terol, A., Arenas-Parra, M., Cañal-Fernández, V. y Bilbao-Terol, C. (2013). "Selection of socially responsible portfolios using hedonic prices". Journal of Business Ethics, 115(3): 515-529. http://doi.org/4ms.
  • Cabello, J.M., Ruiz, F., Pérez-Gladish, B. y Méndez-Rodríguez, P. (2014). "Synthetic indicators of mutual funds' environmental responsibility: An application of the Reference Point Method". European Journal of Operational Research, 236(1): 313-325. http://doi.org/4mt.
  • Calvo, C., Ivorra, C. y Liern, V. (2014). "Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier". Annals of Operations Research, 213:1-16. http://doi.org/4mv.
  • Copeland, T. y Weston, J. (1988). Financial theory and corporate finance. Addison-Wesley, Reading.
  • Charnes, A. y Cooper, W.W. (1977). "Goal programming and multiple objective optimizations: Part 1". European Journal of Operational Research, 1(1): 39-54. http://doi.org/b3v9p2.
  • Domini, A.L. y Kinder, P. (1984). Ethical investing. Addison-Wesley Reading, Mass.
  • Dorfleitner, G. y Utz, S. (2012). "Safety first portfolio choice based on financial and sustainability returns". European Journal of Operational Research, 221(1): 155-164. http://doi.org/4mw.
  • Drut, B. (2010). "Sovereign bonds and socially responsible investment". Journal of Business Ethics, 92(1): 131-145. http://doi.org/d263qc.
  • Hallerbach, W., Ning, H., Soppe, A. y Spronk, J. (2004). "A framework for managing a portfolio of socially responsible investments". European Journal of Operational Research, 153(2): 517-529. http://doi.org/d6ztcm.
  • Kallberg, J.G. y Ziemba,W.T. (1983). "Comparison of alternative utility functions in portfolio selection problems". Management Science, 29(11): 1257-1276. http://doi.org/fhwcfd.
  • Lowry, R.P. (1993). Good Money: A Guide to Profitable Social Investing in the'90s. WW Norton & Company, New York.
  • Steuer, R., Qi, Y. y Hirschberger, M. (2007). "Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection". Annals of Operations Research, 152(1): 297-317. http://doi.org/db2mg6.
  • Utz, S., Wimmer, M., Hirschberger, M. y Steuer, R.E. (2014). "Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds". European Journal of Operational Research, 234(2): 491-498. http://doi.org/4mx.
  • Von Neumann, J. y Morgenstern, O. (1947). Theory of games and economic behaviour. Princeton University Press, Princeton.
  • Zopounidis, C. y Doumpos, M. (2013). "Multicriteria decision systems for financial problems". TOP, 21(2): 241-261. http://doi.org/4mz.