Selection of Socially Responsible Portfolios Using Hedonic Prices

A. Bilbao-Terol (), M. Arenas-Parra (), V. Canal-Fernandez () and C. Bilbao-Terol ()
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A. Bilbao-Terol: University of Oviedo
M. Arenas-Parra: University of Oviedo
V. Canal-Fernandez: University of Oviedo
C. Bilbao-Terol: University of Oviedo

A chapter in Operations Research Proceedings 2012, 2014, pp 51-56 from Springer

Abstract: Abstract This research presents a novel framework for selecting Socially Responsible Investment (SRI) portfolios. The Hedonic Price Method (HPM) is applied to obtain an evaluation of SRI criteria that is integrated into a multi–objective mathematical programming model. This approach allows us to obtain a portfolio whose financial performance is similar to which the investor would have reached if he or she had not taken into account Social, Ethical and Environmental (SEE) characteristics when making his or her investment decisions. This methodology is applied to portfolios composed of socially responsible and conventional mutual funds domiciled in Spain.

Keywords: Socially Responsible Portfolio; Multi-objective Mathematical Programming Model; Hedonic Price Method (HPM); Individual Mutual Funds; Conditional Value At Risk (CVaR) (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-319-00795-3_8

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DOI: 10.1007/978-3-319-00795-3_8

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