The purpose of this article is to propose an alternative approach for portfolio optimization combining financial and ethical constraints in one hand, and objective and subjective investor’s preferences in the other hand. This approach intends to support investors in selecting and optimizing financial and social portfolio’s performances. More precisely, we introduce analytic hierarchy process (AHP) to measure the ethical performance (EP) score of each asset considering ethical criteria. For its part, fuzzy multiple criteria decision making (FMCDM) is used to determine the overall financial quality score of assets with respect to key financial criteria i.e., short term return, long term return, and risk. Besides, interactive fuzzy programming approach is applied to support the investor’s decision, considering its subjective preferences. The robustness of our approach is tested through an empirical study involving the case of the Casablanca Stock Exchange (CSE). The results give evidence that the Socially Responsible (SR) Portfolio have performed similar to the conventional one, as no significant differences were found in term of return. However, the SR portfolio allows the investor to achieve his ethical goal, against a slight financial sacrifice.
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.
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