Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier

Calvo, Clara; Ivorra, Carlos; Liern, Vicente

doi:10.1007/s10479-014-1561-2

Cited by 66 publications

(33 citation statements)

References 16 publications

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“…Whereas the parabola of Figure 1 becomes the hyperbola of Figure 2 when variance is changed to standard deviation in Merton's bi-criterion model (4), the paraboloid of Figure 3 becomes the hyperboloid seen in Figure 6 when variance is changed to standard deviation in our tri-criterion model (7).…”

Section: Illustrative Numerical Examplementioning

confidence: 90%

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An analytical derivation of the efficient surface in portfolio selection with three criteria

Steuer

Wimmer

2015

Ann Oper Res

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In standard mean-variance bi-criterion portfolio selection, the efficient set is a frontier. While it is not yet standard for there to be additional criteria in portfolio selection, there has been a growing amount of discussion in the literature on the topic. However, should there be even one additional criterion, the efficient frontier becomes an efficient surface. Striving to parallel Merton's seminal analytical derivation of the efficient frontier, in this paper we provide an analytical derivation of the efficient surface when an additional linear criterion (on top of expected return and variance) is included in the model addressed by Merton. Among the results of the paper there is, as a higher dimensional counterpart to the 2-mutual-fund theorem of traditional portfolio selection, a 3-mutual-fund theorem in tri-criterion portfolio selection. 3D graphs are employed to stress the paraboloidic/hyperboloidic structures present in tri-criterion portfolio selection.

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Section: Illustrative Numerical Examplementioning

confidence: 90%

“…Hence, the -vector in (7). As with the solution to model (4), the solution to (7) is all of its nondominated and efficient sets N and E. In analyzing (7), we make the following assumptions.…”

Section: Deriving the Minimum-variance Surfacementioning

confidence: 99%

An analytical derivation of the efficient surface in portfolio selection with three criteria

Steuer

Wimmer

2015

Ann Oper Res

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“…However, most recently, the additional criterion that seems to be receiving the most consideration is social responsibility [42,57]. Over the past few years numerous papers on social responsibility in portfolio selection have been published [51,52,54,[58][59][60][61][62][63][64][65][66][67][68][69]. One of the most recent works on this subject comes from Utz et al [52] who extended the Markowitz model by complementing it with a social responsibility objective, in addition to the portfolio return and variance, thereby making the traditional efficient frontier a surface.…”

Section: The Application Of Multi-criteria Decision-making Methods Inmentioning

confidence: 99%

Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making

Dobrovolskienė

Tamošiūnienė

2016

Sustainability

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Abstract:Modern portfolio theory attempts to maximize the expected return of a portfolio for a given level of portfolio risk, or equivalently minimize risk for a given level of expected return. The reality, however, shows that, when selecting projects to a portfolio and allocating resources in the portfolio, an increasing number of organizations take into account other aspects as well. As a result of the sole purpose (risk-return), it offers only a partial solution for a sustainable organization. Existing project portfolio selection and resource allocation methods and models do not consider sustainability. Therefore, the aim of this article is to develop a sustainability-oriented model of financial resource allocation in a project portfolio by integrating a composite sustainability index of a project into Markowitz's classical risk-return scheme (mean-variance model). The model was developed by applying multi-criteria decision-making methods. The practicability of the model was tested by an empirical study in a selected construction company. The proposed sustainability-oriented financial resource allocation model could be used in allocating financial resources in any type of business. The use of the model would not only help organisations to manage risk and achieve higher return but would also allow carrying out sustainable projects, thereby promoting greater environmental responsibility and giving more consideration to the wellbeing of future generations. Moreover, the model allows quantifying the impact of the integration of sustainability into financial resource allocation on the return of a portfolio.

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“…The auxiliary binary variables have been introduced in the model in order to model the constraints that ensure that the investment bounds constraints are only active for those funds already selected to be included in the portfolio (see, e.g. Calvo et al 2012Calvo et al , 2014.…”

Section: Rest Of Stocksmentioning

confidence: 99%

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

Méndez-Rodrı́guez

Pérez-Gladish

Cabello

et al. 2014

International Series in Operations Research &Amp; Management Science

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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. IntroductionAs we have seen in the first part of this book, the current long economic recession has affected all dimensions of the world economy and the asset management industry has not been immune to these negative impacts. In Chap. 2 we have described the situation of the Spanish financial market which has not been an exception. The overall asset management market in Spain has seen total assets under management reduce considerably over the past several years, due to, firstly, contagion effects from the global financial crisis of 2007-2008. Moreover, another reason for that have been the corrections experienced in the overheated local housing and commercial real estate market. For instance, an according to the latest published P. Méndez-Rodríguez • B. Pérez-Gladish ( ) Universidad de Oviedo, Avda. del Cristo s/n,

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Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier

Cited by 66 publications

References 16 publications

An analytical derivation of the efficient surface in portfolio selection with three criteria

An analytical derivation of the efficient surface in portfolio selection with three criteria

Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making

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

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