6533b85efe1ef96bd12bfbc9

RESEARCH PRODUCT

Soft Computing Techniques for Portfolio Selection: Combining SRI with Mean-Variance Goals

Clara CalvoCarlos IvorraVicente Liern

subject

Soft computingMathematical optimizationOrder (exchange)Computer scienceHeuristicPortfolioEfficient frontierSocial responsibilityMembership functionSelection (genetic algorithm)

description

A fuzzy portfolio selection model is presented incorporating a socially responsible goal without discarding a priori financially good portfolios or weakening a priori the financial goals. Hence, the optimal portfolios it provides could be either efficient from the strictly financial point of view or non-efficient if leaving the efficient frontier substantially improves the degree of social responsibility. The model can be used to direct heuristic procedures in order to select a reduced number of various alternatives from which the investor can directly make a final decision.

yearjournalcountryeditionlanguage
2014-10-30
https://doi.org/10.1007/978-3-319-11836-9_14