Soft Computing Techniques for Portfolio Selection: Combining SRI with Mean-Variance Goals

Clara Calvo (), Carlos Ivorra () and Vicente Liern ()
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Clara Calvo: Universidad de Valencia
Carlos Ivorra: Universidad de Valencia
Vicente Liern: Universidad de Valencia

Chapter Chapter 14 in Socially Responsible Investment, 2015, pp 283-301 from Springer

Abstract: Abstract A fuzzy portfolio selection model is presented incorporating a socially responsible goal without discarding a priori financially good portfolios or weakening a priori the financial goals. Hence, the optimal portfolios it provides could be either efficient from the strictly financial point of view or non-efficient if leaving the efficient frontier substantially improves the degree of social responsibility. The model can be used to direct heuristic procedures in order to select a reduced number of various alternatives from which the investor can directly make a final decision.

Keywords: Membership Function; Social Responsibility; Mutual Fund; Portfolio Selection; Efficient Frontier (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/978-3-319-11836-9_14

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