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

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. 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,