Socially Responsible Portfolio Selection: An Interactive Intuitionistic Fuzzy Approach

Mathematics

Mohamed Tkiouat¹  Yahya Hanine¹  Younes Lahrichi²  Youssef Lamrani Alaoui³ 

[1] Islamic Financial Engineering Laboratory (IFELAB), Laboratory of Applied Mathematical Studies and Research (LERMA), Mohammadia School of Engineering (EMI), Mohammed V University, Avenue Ibn Sina, Rabat 86154, Morocco;Laboratory of Research in Finance (LAREF), ISCAE Business School, Casablanca 29002, Morocco;Multidisciplinary Research and Innovation Laboratory (LPRI), Moroccan School of Engineering Science (EMSI), Casablanca 20002, Morocco;

关键词: multi-objective optimization;    portfolio optimization;    SRI;    ESG;    intuitionistic fuzzy programming problem;   

DOI  :  10.3390/math9233023

来源: DOAJ

【 摘 要 】

In this study, we address the topic of sustainable and responsible portfolio investments (SRI). The selection of such portfolios is based, in addition to traditional financial variables, on environmental, social, and governance (ESG) criteria. The interest of our approach resides in allowing socially responsible (SR) portfolio investors to select their optimal portfolios by considering their individual preferences for each objective and simultaneous definition of the degrees of acceptance and rejection. In particular, we consider socially responsible portfolio selection as an optimization problem with multiple objectives before applying interactive intuitionistic fuzzy method to solve the portfolio optimization. The robustness of our approach is tested through an empirical study on the top 10 Stocks for ESG values worldwide.

【 授权许可】

Unknown