Abstract
AbstractIn this chapter, the second stage to stock portfolio selection combining ethical and financial objectives is described. For this purpose, MV-SGP model is used. As a prior question, the financial and ethical goals under uncertainty are formulated. Once the goals are specified, the statement of MV-SGP requires defining financial and SRI targets. A significant question is how to estimate Arrow’s absolute risk aversion (ARA) coefficients. This question is examined in detail. The ARA coefficients are critical parameters to state the achievement function in MV-SGP model, while preference weights for the goals are not considered. This is because SRI preferences widely differ from an investor to another. Only in the case that portfolio selection is addressed to one given investor, his/her preferences are introduced into the achievement functionKeywordsRisk AversionPortfolio SelectionPortfolio WeightAbsolute Risk AversionPortfolio VarianceThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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