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Portfolio Selection with SRI Synthetic Indicators: A Reference Point Method Approach

In: Socially Responsible Investment

Author

Listed:
  • Paz Méndez-Rodrı́guez

    (Universidad de Oviedo)

  • Blanca Pérez-Gladish

    (Universidad de Oviedo)

  • José Manuel Cabello

    (University of Málaga)

  • Francisco Ruiz

    (University of Málaga)

Abstract

In this chapter we present an individual investment decision making tool for stocks’ portfolio selection taking into account the subjective and individual preferences about different financial and socially responsible features of a particular investor. In order to do so, the first problem to be solved is the measurement of the degree of social responsibility of a financial asset. In this work we use a double reference point scheme to obtain synthetic indicators of the social responsibility degree of stocks. Then, a mixed reference point classification scheme is used to solve the resulting multiple criteria portfolio selection model including, together with the classical financial criteria, a social responsibility criterion based on the synthetic social indicators previously obtained. In order to illustrate the suitability and applicability of the proposed investment decision making model, an empirical study on a set of Spanish domiciled stocks is presented.

Suggested Citation

  • Paz Méndez-Rodrı́guez & Blanca Pérez-Gladish & José Manuel Cabello & Francisco Ruiz, 2015. "Portfolio Selection with SRI Synthetic Indicators: A Reference Point Method Approach," International Series in Operations Research & Management Science, in: Enrique Ballestero & Blanca Pérez-Gladish & Ana Garcia-Bernabeu (ed.), Socially Responsible Investment, edition 127, chapter 0, pages 263-282, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-11836-9_13
    DOI: 10.1007/978-3-319-11836-9_13
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    Cited by:

    1. Deng Xiong & Liu Yanli, 2018. "A High-Moment Trapezoidal Fuzzy Random Portfolio Model with Background Risk," Journal of Systems Science and Information, De Gruyter, vol. 6(1), pages 1-28, February.

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