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RESEARCH PRODUCT

Measuring Social Responsibility: A Multicriteria Approach

Vicente LiernBlanca Pérez-gladishPaz Méndez-rodríguez

subject

021103 operations researchManagement scienceFeasible region0211 other engineering and technologies02 engineering and technologyAsset (computer security)MicroeconomicsSocially responsible investmentOrder (exchange)0202 electrical engineering electronic engineering information engineeringPortfolio020201 artificial intelligence & image processingBusinessSocial responsibilitySelection (genetic algorithm)

description

In this chapter we present a portfolio selection model for Socially Responsible Investment. The model, following the spirit of Socially Responsible Investment, consists of two different steps. Firstly, a social screening is applied in order to obtain the feasible set of assets accomplishing the socially responsible investment policy of the assets’ manager. In this step, an indicator is obtained for the measurement of the social responsibility degree of an asset. Assets are then ranked using this indicator from the most socially responsible to the less socially responsible. In a second step, once the feasible set is obtained, composed of those socially responsible assets verifying the screens and standards imposed by the assets’ manager, a portfolio selection model is proposed based on the classical Markowitz mean-variance model to determine efficient portfolios.

yearjournalcountryeditionlanguage
2016-09-09
https://doi.org/10.1007/978-3-319-39292-9_2