Selecting SRI Financial Portfolios Applying MV-SGP Model

Enrique Ballestero and Ana Garcia-Bernabeu ()
Additional contact information
Enrique Ballestero: Universitat Politècnica de València
Ana Garcia-Bernabeu: Universitat Politècnica de València

Chapter Chapter 6 in Socially Responsible Investment, 2015, pp 131-141 from Springer

Abstract: Abstract In this chapter, the second stage to stock portfolio selection combining ethical and financial objectives is described. For this purpose, MV-SGP model is used. As a prior question, the financial and ethical goals under uncertainty are formulated. Once the goals are specified, the statement of MV-SGP requires defining financial and SRI targets. A significant question is how to estimate Arrow’s absolute risk aversion (ARA) coefficients. This question is examined in detail. The ARA coefficients are critical parameters to state the achievement function in MV-SGP model, while preference weights for the goals are not considered. This is because SRI preferences widely differ from an investor to another. Only in the case that portfolio selection is addressed to one given investor, his/her preferences are introduced into the achievement function

Keywords: Risk Aversion; Portfolio Selection; Portfolio Weight; Absolute Risk Aversion; Portfolio Variance (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:isochp:978-3-319-11836-9_6

Ordering information: This item can be ordered from
http://www.springer.com/9783319118369

DOI: 10.1007/978-3-319-11836-9_6

Access Statistics for this chapter

More chapters in International Series in Operations Research & Management Science from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().