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

Amelia Bilbao-Terol (), Mar Arenas-Parra (), Verónica Cañal-Fernández () and Celia Bilbao-Terol ()
Additional contact information
Amelia Bilbao-Terol: University of Oviedo
Mar Arenas-Parra: University of Oviedo
Verónica Cañal-Fernández: University of Oviedo
Celia Bilbao-Terol: University of Oviedo

Annals of Operations Research, 2016, vol. 247, issue 2, No 8, 549-580

Abstract: Abstract 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.

Keywords: Behavioral portfolio with mental accounting; Socially responsible investing; Goal programming; Conditional value at risk; Fuzzy inference system (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://link.springer.com/10.1007/s10479-015-1947-9 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:247:y:2016:i:2:d:10.1007_s10479-015-1947-9

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

DOI: 10.1007/s10479-015-1947-9

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 ().