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

Paz Méndez-Rodrı́guez (), Blanca Pérez-Gladish (), José Manuel Cabello () and Francisco Ruiz ()
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Paz Méndez-Rodrı́guez: Universidad de Oviedo
Blanca Pérez-Gladish: Universidad de Oviedo
José Manuel Cabello: University of Málaga
Francisco Ruiz: University of Málaga

Chapter Chapter 13 in Socially Responsible Investment, 2015, pp 263-282 from Springer

Abstract: Abstract 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.

Keywords: Social Responsibility; Portfolio Selection; Socially Responsible Invest; Sharpe Ratio; Aspiration Level (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/978-3-319-11836-9_13

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