Abstract
In this chapter we present an individual investment decision making tool for stocks’ portfolio selection taking into account the subjective and individual preferences about different financial and socially responsible features of a particular investor. In order to do so, the first problem to be solved is the measurement of the degree of social responsibility of a financial asset. In this work we use a double reference point scheme to obtain synthetic indicators of the social responsibility degree of stocks. Then, a mixed reference point classification scheme is used to solve the resulting multiple criteria portfolio selection model including, together with the classical financial criteria, a social responsibility criterion based on the synthetic social indicators previously obtained. In order to illustrate the suitability and applicability of the proposed investment decision making model, an empirical study on a set of Spanish domiciled stocks is presented.
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This chapter is closely related to and heavily based on Cabello et al. (2014) published in the European Journal of Operational Research
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Acknowledgements
This research has been partially supported by the Regional Government of Andalucía (Spain) (PAI group SEJ-445 and Research Project PR09-FQM-5001).
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Méndez-Rodrı́guez, P., Pérez-Gladish, B., Cabello, J.M., Ruiz, F. (2015). Portfolio Selection with SRI Synthetic Indicators: A Reference Point Method Approach. In: Ballestero, E., Pérez-Gladish, B., Garcia-Bernabeu, A. (eds) Socially Responsible Investment. International Series in Operations Research & Management Science, vol 219. Springer, Cham. https://doi.org/10.1007/978-3-319-11836-9_13
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DOI: https://doi.org/10.1007/978-3-319-11836-9_13
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