Selection of Socially Responsible Portfolios Using Hedonic Prices

Bilbao-Terol, Amelia; Arenas-Parra, Mar; Cañal‐Fernández, Verónica; Bilbao‐Terol, Celia

doi:10.1007/s10551-012-1411-6

Cited by 53 publications

(20 citation statements)

References 34 publications

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“…Our approach is in the spirit of Bilbao-Terol et al (2013), in the sense that we provide the investor with several possible portfolios not too far from the financial efficient frontier of the problem. In this way, the investor becomes aware of the difference between the financial performance of the proposed portfolios and the financially efficient ones that are better with regard to the financial goals.…”

Section: Portfolio Selection Under Financial and Social Criteriamentioning

confidence: 99%

Finding socially responsible portfolios close to conventional ones

Calvo

Ivorra

Liern

2015

International Review of Financial Analysis

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Section: Portfolio Selection Under Financial and Social Criteriamentioning

confidence: 99%

Finding socially responsible portfolios close to conventional ones

Calvo

Ivorra

Liern

2015

International Review of Financial Analysis

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“…The results of the study by Ballestero et al [60] suggested that ethical investments entail higher risk exposure. In their study, Bilbao-Terol et al [62] found that the financial penalties associated with SRIs are quite minor for higher risk-averse investors. Utz et al [66] revealed no support for lower financial performance or higher risk exposures of SRI funds.…”

Section: Resultsmentioning

confidence: 93%

“…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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“…and propose an example for SR investors, showing that their algorithm can outperform standard portfolio strategies for multi-criteria DMs. Bilbao et al (2013) propose an approach for portfolio selection based on the market valuation of the social responsibility of financial assets and multi-objective programming tools in order to obtain an optimal SRI portfolio with a financial performance similar to an optimal portfolio without ESG considerations. Calvo et al (2014) consider the social responsibility of the portfolio as an additional secondary non-financial goal in the mean-variance portfolio selection model.…”

Section: Introductionmentioning

confidence: 99%

Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment

et al. 2015

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The current economic crisis fuels the financial social responsibility after an epoch of many excesses with damaging effects. This work tackles two emerging streams in the financial literature: the behavioral portfolio theory with mental accounting and the socially responsible investment (SRI). Promoting SRI is regarded by a lot of financial experts, policymakers and researchers from the field of economic and social sciences, as one of the potential solutions in order to avoid future crises. Therefore, new models for this investment approach are necessary. We try to support the class of investors that select their investments under a mental accounting framework and also they want to achieve a certain level of SR quality in their portfolios. In order to reconcile the two choice frames, avoiding unnecessary sacrifices in financial performance, we have designed a model based on goal programming that integrates the two cornerstones of the investor. Furthermore, we propose a fuzzy inference system to determine the amount of money allocated to each mental account as well as the confidence level assigned to each mental account. This tool is based on expert knowledge modeled by fuzzy if-then rules.

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Selection of Socially Responsible Portfolios Using Hedonic Prices

Cited by 53 publications

References 34 publications

Finding socially responsible portfolios close to conventional ones

Finding socially responsible portfolios close to conventional ones

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

Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment

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