445
Views
0
CrossRef citations to date
0
Altmetric
Original Article

Socially responsible multiobjective optimal portfolios

&
Received 02 Jun 2022, Accepted 29 Dec 2023, Published online: 30 Jan 2024

References

  • Aouni, B., Doumpos, M., Pérez-Gladish, B., & Steuer, R. E. (2018). On the increasing importance of multiple criteria decision aid methods for portfolio selection. Journal of the Operational Research Society, 69(10), 1525–1542. https://doi.org/10.1080/01605682.2018.1475118
  • Ballestero, E., Bravo, M., Pérez-Gladish, B., Arenas-Parra, M., & Plà-Santamaria, D. (2012). Socially responsible investment: A multicriteria approach to portfolio selection combining ethical and financial objectives. European Journal of Operational Research, 216(2), 487–494. https://doi.org/10.1016/j.ejor.2011.07.011
  • Ballestero, E., & Romero, C. (1996). Portfolio selection: A compromise programming solution. Journal of the Operational Research Society, 47(11), 1377–1386. https://doi.org/10.2307/3010203
  • Bilbao, A., Arenas, M., Jiménez, M., Perez Gladish, B., & Rodríguez, M. (2006). An extension of sharpe’s single-index model: Portfolio selection with expert betas. Journal of the Operational Research Society, 57(12), 1442–1451. https://doi.org/10.1057/palgrave.jors.2602133
  • Bilbao-Terol, A., Arenas-Parra, M., Cañal-Fernández, V., & Jiménez, M. (2016). A sequential goal programming model with fuzzy hierarchies to sustainable and responsible portfolio selection problem. Journal of the Operational Research Society, 67(10), 1259–1273. https://doi.org/10.1057/jors.2016.33
  • Bruni, R., Cesarone, F., Scozzari, A., & Tardella, F. (2017). On exact and approximate stochastic dominance strategies for portfolio selection. European Journal of Operational Research, 259(1), 322–329. https://doi.org/10.1016/j.ejor.2016.10.006
  • Cao, Y., Fuentes-Cortes, L. F., Chen, S., & Zavala, V. M. (2017). Scalable modeling and solution of stochastic multiobjective optimization problems. Computers & Chemical Engineering, 99, 185–197. https://doi.org/10.1016/j.compchemeng.2017.01.021
  • Charnes, A., & Cooper, W. W. (1962). Programming with linear fractional functionals. Naval Research Logistics Quarterly, 9(3–4), 181–186. https://doi.org/10.1002/nav.3800090303
  • Dinkelbach, W. (1967). On nonlinear fractional programming. Management Science, 13(7), 492–498. https://doi.org/10.1287/mnsc.13.7.492
  • Gasser, S. M., Rammerstorfer, M., & Weinmayer, K. (2017). Markowitz revisited: Social portfolio engineering. European Journal of Operational Research, 258(3), 1181–1190. https://doi.org/10.1016/j.ejor.2016.10.043
  • Ghalanos, A. (2019). rmgarch: Multivariate GARCH Models. URL: https://cran.r-project.org/package=rmgarch R package version 1.3-7.
  • Goel, A., & Sharma, A. (2021). Deviation measure in second-order stochastic dominance with an application to enhanced indexing. International Transactions in Operational Research, 28(4), 2218–2247. https://doi.org/10.1111/itor.12629
  • Henriques, C. O., & Neves, M. E. D. (2019). A multiobjective interval portfolio framework for supporting investor’s preferences under different risk assumptions. Journal of the Operational Research Society, 70(10), 1639–1661. https://doi.org/10.1080/01605682.2019.1571004
  • Hirschberger, M., Steuer, R. E., Utz, S., Wimmer, M., & Qi, Y. (2013). Computing the nondominated surface in tri-criterion portfolio selection. Operations Research, 61(1), 169–183. https://doi.org/10.1287/opre.1120.1140
  • Lindquist, W. B., Rachev, S. T., Hu, Y., & Shirvani, A. (2022). Inclusion of esg ratings in optimization. In Advanced REIT Portfolio Optimization: Innovative Tools for Risk Management. (pp. 227–245). Springer International Publishing. URL. https://doi.org/10.1007/978-3-031-15286-3_13.
  • Lööf, H., Sahamkhadam, M., & Stephan, A. (2021). Is corporate social responsibility investing a free lunch? the relationship between ESG, tail risk, and upside potential of stocks before and during the covid-19 crisis. Finance Research Letters, 46, 102499. https://doi.org/10.1016/j.frl.2021.102499
  • Lööf, H., Sahamkhadam, M., & Stephan, A. (2023). Incorporating ESG into optimal stock portfolios for the global timber & forestry industry. Journal of Forest Economics, 38(2), 133–157. https://doi.org/10.1561/112.00000560
  • Martel, J.-M., Khoury, N., & Bergeron, M. (1988). An application of a multicriteria approach to portfolio comparisons. Journal of the Operational Research Society, 39(7), 617–628. https://doi.org/10.1057/jors.1988.107
  • Masmoudi, M., & Abdelaziz, F. B. (2018). Portfolio selection problem: A review of deterministic and stochastic multiple objective programming models. Annals of Operations Research, 267(1–2), 335–352. https://doi.org/10.1007/s10479-017-2466-7
  • Nagler, T., Bumann, C., & Czado, C. (2019). Model selection in sparse high-dimensional vine copula models with an application to portfolio risk. Journal of Multivariate Analysis, 172, 180–192. https://doi.org/10.1016/j.jmva.2019.03.004
  • Nagler, T., Vatter, T. (2021). rvinecopulib: High Performance Algorithms for Vine Copula Modeling. URL: https://cran.r-project.org/package=rvinecopulib R package version 0.5.5.1.1.
  • Pedersen, L. H., Fitzgibbons, S., & Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142(2), 572–597. https://doi.org/10.1016/j.jfineco.2020.11.001
  • Roman, D., Mitra, G., & Zverovich, V. (2013). Enhanced indexation based on second-order stochastic dominance. European Journal of Operational Research, 228(1), 273–281. https://doi.org/10.1016/j.ejor.2013.01.035
  • Sahamkhadam, M., Stephan, A., & Östermark, R. (2022). Copula-based black–litterman portfolio optimization. European Journal of Operational Research, 297(3), 1055–1070. https://doi.org/10.1016/j.ejor.2021.06.015
  • Sharma, A., Agrawal, S., & Mehra, A. (2017). Enhanced indexing for risk averse investors using relaxed second order stochastic dominance. Optimization and Engineering, 18(2), 407–442. https://doi.org/10.1007/s11081-016-9329-y
  • Steuer, R. E. (1986). Multiple criteria optimization: Theory, computation and applications. Wiley.
  • Steuer, R. E., & Utz, S. (2023). Non-contour efficient fronts for identifying most preferred portfolios in sustainability investing. European Journal of Operational Research, 306(2), 742–753. https://doi.org/10.1016/j.ejor.2022.08.007
  • Stoyanov, S. V., Rachev, S. T., & Fabozzi, F. J. (2007). Optimal financial portfolios. Applied Mathematical Finance, 14(5), 401–436. https://doi.org/10.1080/13504860701255292
  • Utz, S., Wimmer, M., Hirschberger, M., & Steuer, R. E. (2014). Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds. European Journal of Operational Research, 234(2), 491–498. https://doi.org/10.1016/j.ejor.2013.07.024
  • Utz, S., Wimmer, M., & Steuer, R. E. (2015). Tri-criterion modeling for constructing more-sustainable mutual funds. European Journal of Operational Research, 246(1), 331–338. https://doi.org/10.1016/j.ejor.2015.04.035
  • Xidonas, P., Mavrotas, G., Hassapis, C., & Zopounidis, C. (2017). Robust multiobjective portfolio optimization: A minimax regret approach. European Journal of Operational Research, 262(1), 299–305. https://doi.org/10.1016/j.ejor.2017.03.041
  • Xidonas, P., Mavrotas, G., Krintas, T., Psarras, J., & Zopounidis, C. (2012). Multicriteria portfolio management. In Multicriteria Portfolio Management (pp. 5–21). Springer.