Synthetic indicators of mutual funds’ environmental responsibility: An application of the Reference Point Method

Cabello, José Manuel Jiménez; Ruiz, Francisco; Pérez-Gladish, Blanca; Méndez-Rodrı́guez, Paz

doi:10.1016/j.ejor.2013.11.031

Cited by 53 publications

(22 citation statements)

References 15 publications

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“…Both, academics and practitioners, have become conscious of this and have incorporated social responsibility as a decision criterion in their portfolio selection models. Hallerbach, Ning, Soppe, and Spronk (2004), Steuer et al (2007), Drut (2010), Ballestero, Bravo, Pérez-Gladish, Arenas-Parra, and Pla-Santamaria (2012), Dorfleitner, Leidl, and Reeder (2012), Dorfleitner and Utz (2012), Cañal (2012a, 2012b), Bilbao-Terol, ArenasParra, Cañal-Fernández, and Bilbao-Terol (2013), Cabello, Ruiz, Pérez-Gladish, and Méndez-Rodrguez (2014), Utz et al (2014) and Calvo et al (2014) acknowledge that MCDM models for portfolio selection including not only the two classical financial criteria (return and risk) but also environmental, social and governance (ESG) issues are more flexible and more likely to better represent the individual and subjective preferences of a large number of nowadays investors.…”

Section: The Classical Portfolio Selection Problemmentioning

confidence: 98%

Finding socially responsible portfolios close to conventional ones

Calvo

Ivorra

Liern

2015

International Review of Financial Analysis

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Section: The Classical Portfolio Selection Problemmentioning

confidence: 98%

Finding socially responsible portfolios close to conventional ones

Calvo

Ivorra

Liern

2015

International Review of Financial Analysis

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“…In this sense, the first term of the achievement function (13.3) can be regarded as an aggregation that follows the strong paradigm, while the second term can be considered to follow the weak paradigm. These facts have led us to adapt this double reference point scheme to our problem, as described next (see Cabello et al (2014)). This scheme is based on the one described in Ruiz et al (2010) for the determination of synthetic sustainability indicators.…”

Section: The Reference Point Based Approachmentioning

confidence: 98%

“…Weighting scheme. Different approaches can be followed in order to establish particular and subjective weights for the criteria (see for example Perez-Gladish and M'Zali 2010; Cabello et al (2014). In this work equal weights have been used for all the dimensions, but we can also let experts or the investor to give these weights.…”

Section: Synthetic Indicators Of Stocks' Social Responsibilitymentioning

confidence: 99%

“…With this aim we first propose the use a double reference point scheme to obtain synthetic indicators of the social responsible degree of the stocks, as suggested in Cabello et al (2014). Then, we model a multiple criteria portfolio selection model including, together with the classical financial criteria, a non-financial criterion related with the social responsibility of the portfolio, based on the synthetic social indicators previously obtained.…”

Section: Introductionmentioning

confidence: 99%

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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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“…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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Synthetic indicators of mutual funds’ environmental responsibility: An application of the Reference Point Method

Cited by 53 publications

References 15 publications

Finding socially responsible portfolios close to conventional ones

Finding socially responsible portfolios close to conventional ones

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

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

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