Fuzzy goal programming- an additive model
Fuzzy Sets and Systems
Fuzzy set theory—and its applications (3rd ed.)
Fuzzy set theory—and its applications (3rd ed.)
A generalization of fuzzy goal programming with preemptive structure
Computers and Operations Research
On a canonical representation of fuzzy numbers
Fuzzy Sets and Systems
Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
Information Sciences: an International Journal
A new perspective for optimal portfolio selection with random fuzzy returns
Information Sciences: an International Journal
Asset portfolio optimization using fuzzy mathematical programming
Information Sciences: an International Journal
Is there a need for fuzzy logic?
Information Sciences: an International Journal
Information Sciences: an International Journal
Fuzzy portfolio selection using fuzzy analytic hierarchy process
Information Sciences: an International Journal
Development of fuzzy process accuracy index for decision making problems
Information Sciences: an International Journal
New decision-making techniques and their application in the selection of financial products
Information Sciences: an International Journal
Soft Computing - A Fusion of Foundations, Methodologies and Applications
Application of fuzzy sets to manufacturing/distribution planning decisions in supply chains
Information Sciences: an International Journal
A fuzzy multi-objective approach for sustainable investments
Expert Systems with Applications: An International Journal
A risk index model for multi-period uncertain portfolio selection
Information Sciences: an International Journal
Information Sciences: an International Journal
Hybrid optimization models of portfolio selection involving financial and ethical considerations
Knowledge-Based Systems
Some new results on value ranges of risks for mean-variance portfolio models
Information Sciences: an International Journal
Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
Information Sciences: an International Journal
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In this study we present a model for selecting portfolios when an ethical dimension on financial products is considered. We propose a method that can be used to define a measure of the ethical performance of the mutual funds that follow a Socially Responsible Investing (SRI) approach. Such funds would avoid investments in companies that fail to meet certain ethical criteria or would choose to invest in companies whose objectives are seen as ethically desirable. In order to do this, we present an index called ''SRI-Attractiveness'' that summarizes the ''social, environmental and ethical performance'' of each SRI-fund for a particular investor. This index relies on an aggregation process and uses Fuzzy Multi-Criteria Decision-Making techniques. In this approach, the first phase finds a fuzzy number that assesses how the fund fulfills the social attributes according to investors' preferences. In the second one, a normalization process is presented on the basis of the construction of a fuzzy target that takes into account how the investor strictly adheres to the social responsibility criteria. Indeed, the SRI-approach also considers conventional financial objectives such as final wealth, net gains, or wealth relative to some benchmark. Therefore, any model of SRI-asset allocation should integrate social and financial dimensions. In this paper, the evaluation of the financial criteria has been handled by the Expected Value of final wealth and the Conditional Value-at-Risk. We use a mathematical programming technique that allows us to work with multiple criteria: Goal Programming models with flexible targets and constraints. A case study on a set of Socially Responsible mutual funds domiciled in the UK is presented to illustrate the applicability of the proposed method.