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Please use this identifier to cite or link to this item: http://hdl.handle.net/10651/7511

Title: Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives
Author(s): Ballestero Pareja, Enrique
Bravo Sellés, Milagros
Pérez Gladish, Blanca María
Arenas Parra, María del Mar
Pla Santamaría, David
Keywords: Mcdm
Portfolio Selection
Mutual Funds
Issue date: 2012
Publisher version: http://dx.doi.org/10.1016/j.ejor.2011.07.011
Citation: European Journal of Operational Research, 216(2), p. 487-494 (2012); doi:10.1016/j.ejor.2011.07.011
Format extent: p. 487-494
Abstract: In a context of Socially Responsible Investment (SRI), this paper deals with portfolio selection for investors interested in ethical policies. In the opportunity set there are ethical assets and other assets which are not characterized as ethical. Two goals are considered, the traditional financial goal in the classical utility theory under uncertainty and an ethical goal in the same utility framework. A new financial-ethical bi-criteria model is proposed with absolute risk aversion coefficients and targets depending on the investor’s ethical profile. This approach is relevant as an increasing number of mutual funds are becoming interested in SRI strategies. From the proposed model, an actual case on green investment is developed. Concerning this case (without generalizing to other contexts), an analysis of the numerical results shows that efficient portfolios obtained by the traditional E-V model outperform the strong green portfolios in terms of expected return and risk, but this does not significantly occur with weak green investment
URI: http://hdl.handle.net/10651/7511
ISSN: 0377-2217
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