Ethically Constrained Portfolio Selection of Funds by CP Modelling: A Real World Environmental Case

Ana Garcia-Bernabeu (), Blanca Pérez-Gladish () and Adolfo Hilario ()
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Ana Garcia-Bernabeu: Universitat Politècnica de València
Blanca Pérez-Gladish: Universidad de Oviedo
Adolfo Hilario: Universitat Politècnica de València

Chapter Chapter 10 in Socially Responsible Investment, 2015, pp 197-210 from Springer

Abstract: Abstract In CP models to select ethical financial portfolios of securities, the ethical component can be articulated either by introducing SRI objectives or by introducing SRI constraints. None of these procedures is free of drawbacks. To place SRI objectives seems appealing because trade-offs can be stated between SRI goals and financial goals. However, to build these trade-offs requires articulating investor’s preference weights for SRI and financial objectives. To elicit these weights is quite impossible in mutual funds because preferences differ from one investor to another in the fund. We propose a multicriteria portfolio selection model for mutual funds based on CP which takes into account both, a financial and a non-financial dimension taking into account the subjective and individual preferences of an individual investor under two different scenarios: a low social responsibility degree and a high social responsibility degree scenario. An real case study is performed on 110 large cap equity mutual funds.

Keywords: Mutual Fund; Portfolio Selection; Socially Responsible Investment; Corporate Social Performance; Efficient Frontier (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-11836-9_10

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DOI: 10.1007/978-3-319-11836-9_10

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