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Selecting socially responsible portfolios: A fuzzy multicriteria approach

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Selecting socially responsible portfolios: A fuzzy multicriteria approach

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dc.contributor.author García García, Fernando es_ES
dc.contributor.author Gonzalez-Bueno, Jairo es_ES
dc.contributor.author Oliver-Muncharaz, Javier es_ES
dc.contributor.author Riley, Nicola es_ES
dc.date.accessioned 2020-12-05T04:32:13Z
dc.date.available 2020-12-05T04:32:13Z
dc.date.issued 2019-05-01 es_ES
dc.identifier.uri http://hdl.handle.net/10251/156499
dc.description.abstract [EN] We propose a multi-objective approach for portfolio selection, which allows investors to consider not only return and downside risk criteria but also to include environmental, social and governance (ESG) scores in the investment decision-making process. Owing to the uncertain environment of portfolio selection, the return and ESG score of each asset are considered as independent L-R power fuzzy variables. To make the model more realistic, we take budget, floor ceiling and cardinality constraints into account. In order to select the optimal portfolio along the efficient frontier, we apply the Sortino ratio in a credibilistic environment. The subsequent empirical application uses a data set from Bloomberg's ESG Data in combination with US Dow Jones Industrial Average data. The experimental results show that the proposed model offers promising results for socially responsible investors seeking ethical and sustainability goals beyond the return-risk trade-off and its ability to beat the benchmark es_ES
dc.language Inglés es_ES
dc.publisher MDPI AG es_ES
dc.relation.ispartof Sustainability es_ES
dc.rights Reconocimiento (by) es_ES
dc.subject Sustainable investment es_ES
dc.subject Portfolio selection es_ES
dc.subject ESG rating score es_ES
dc.subject Downside risk es_ES
dc.subject L-R fuzzy numbers es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title Selecting socially responsible portfolios: A fuzzy multicriteria approach es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.3390/su11092496 es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials es_ES
dc.description.bibliographicCitation García García, F.; Gonzalez-Bueno, J.; Oliver-Muncharaz, J.; Riley, N. (2019). Selecting socially responsible portfolios: A fuzzy multicriteria approach. Sustainability. 11(9). https://doi.org/10.3390/su11092496 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.3390/su11092496 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 11 es_ES
dc.description.issue 9 es_ES
dc.identifier.eissn 2071-1050 es_ES
dc.relation.pasarela S\386923 es_ES
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dc.subject.ods 08.- Fomentar el crecimiento económico sostenido, inclusivo y sostenible, el empleo pleno y productivo, y el trabajo decente para todos es_ES


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