2026-10-15T12:26:37Zhttps://riunet.upv.es/server/oai/request

oai:riunet.upv.es:10251/2002602024-06-20T19:05:38Zcom_10251_11198col_10251_55048openaire_data

Real-world datasets for sustainable portfolio selection Garcia-Bernabeu, Ana Departamento de Economía y Ciencias Sociales Escuela Politécnica Superior de Alcoy Grupo de Investigación de Economía Internacional y Desarrollo Multicriteria techniques ESG criteria Portfolio Optimization ESTADISTICA E INVESTIGACION OPERATIVA ECONOMIA FINANCIERA Y CONTABILIDAD ECONOMIA APLICADA The numerical information in these datasets consists of two files. The first file (Dataset_SRI.xlsx) contains the asset data of monthly returns and ESG risk scores for three fund managers from January 2011 to December 2019. The second file (Pareto_Fronts.xlsx) contains the mean-variance-ESG Pareto fronts and the Pareto sets of non-dominated solutions for each manager obtained using the ev-MOGA algorithm. To get these Pareto fronts, we have considered an in-sample period of 72 monthly returns over six years from January 2011 to December 2016. To implement the ev-MOGA algorithm, we use an initial population of 50000 individuals and an auxiliary population of 500. The number of boxes defining the space of each function is 100. García Bernabeu, AM. (2023). Real-world datasets for sustainable portfolio selection. Universitat Politècnica de València. https://doi.org/10.4995/Dataset/10251/200260 2023-12-01 Dataset info:eu-repo/semantics/submittedVersion https://riunet.upv.es/handle/10251/200260 info:doi:10.4995/Dataset/10251/200260 eng http://creativecommons.org/licenses/by-nc/4.0/ info:eu-repo/semantics/openAccess text/plain application/vnd.openxmlformats-officedocument.spreadsheetml.sheet application/vnd.openxmlformats-officedocument.spreadsheetml.sheet Universitat Politècnica de València