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

Clara Calvo (), Carlos Ivorra () and Vicente Liern ()
Additional contact information
Clara Calvo: Universitat de València
Carlos Ivorra: Universitat de València
Vicente Liern: Universitat de València

Annals of Operations Research, 2016, vol. 245, issue 1, No 3, 46 pages

Abstract: Abstract In this work a fuzzy multi-criteria model for portfolio selection is proposed which includes together with the classical financial risk-return bi-objective problem a new non-financial criterion. The proposed model will allow the analyst to offer the investor not only the financially good solutions but also some alternative solutions. In fact, the investor will be allowed to introduce in the model information about how far he or she is willing to go from the financially efficient portfolios knowing about the financial cost of these alternative solutions. A numerical example is presented in order to illustrate the proposed model. The social responsibility of the portfolio is considered as an additional secondary non-financial goal in the mean-variance portfolio selection model. Social responsibility is by its nature a vague and imprecise concept and will be handled by means of fuzzy set tools.

Keywords: Multi-criteria portfolio selection; Fuzzy sets; Efficient frontier; Socially responsible investment (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://link.springer.com/10.1007/s10479-014-1561-2 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:245:y:2016:i:1:d:10.1007_s10479-014-1561-2

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-014-1561-2

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().