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Socially Responsible Portfolio Selection: An Interactive Intuitionistic Fuzzy Approach

Author

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  • Yahya Hanine

    (Islamic Financial Engineering Laboratory (IFELAB), Laboratory of Applied Mathematical Studies and Research (LERMA), Mohammadia School of Engineering (EMI), Mohammed V University, Avenue Ibn Sina, Rabat 86154, Morocco)

  • Youssef Lamrani Alaoui

    (Multidisciplinary Research and Innovation Laboratory (LPRI), Moroccan School of Engineering Science (EMSI), Casablanca 20002, Morocco)

  • Mohamed Tkiouat

    (Islamic Financial Engineering Laboratory (IFELAB), Laboratory of Applied Mathematical Studies and Research (LERMA), Mohammadia School of Engineering (EMI), Mohammed V University, Avenue Ibn Sina, Rabat 86154, Morocco)

  • Younes Lahrichi

    (Laboratory of Research in Finance (LAREF), ISCAE Business School, Casablanca 29002, Morocco)

Abstract

In this study, we address the topic of sustainable and responsible portfolio investments (SRI). The selection of such portfolios is based, in addition to traditional financial variables, on environmental, social, and governance (ESG) criteria. The interest of our approach resides in allowing socially responsible (SR) portfolio investors to select their optimal portfolios by considering their individual preferences for each objective and simultaneous definition of the degrees of acceptance and rejection. In particular, we consider socially responsible portfolio selection as an optimization problem with multiple objectives before applying interactive intuitionistic fuzzy method to solve the portfolio optimization. The robustness of our approach is tested through an empirical study on the top 10 Stocks for ESG values worldwide.

Suggested Citation

  • Yahya Hanine & Youssef Lamrani Alaoui & Mohamed Tkiouat & Younes Lahrichi, 2021. "Socially Responsible Portfolio Selection: An Interactive Intuitionistic Fuzzy Approach," Mathematics, MDPI, vol. 9(23), pages 1-13, November.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:23:p:3023-:d:688102
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    References listed on IDEAS

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    5. Kaisa Miettinen & Jussi Hakanen & Dmitry Podkopaev, 2016. "Interactive Nonlinear Multiobjective Optimization Methods," International Series in Operations Research & Management Science, in: Salvatore Greco & Matthias Ehrgott & José Rui Figueira (ed.), Multiple Criteria Decision Analysis, edition 2, chapter 0, pages 927-976, Springer.
    6. Nhi N.Y.Vo & Xue-Zhong He & Shaowu Liu & Guandong Xu, 2019. "Deep Learning for Decision Making and the Optimization of Socially Responsible Investments and Portfolio," Published Paper Series 2019-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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    Cited by:

    1. Arisona Lestari Billah, 2024. "Advancing ESG Portfolio Optimization: Methods, Progress, and Future Directions," GATR Journals afr236, Global Academy of Training and Research (GATR) Enterprise.

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