Abstract
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.
Highlights
Portfolio selection is a research topic of primordial importance in financial markets [1].It aims to optimally allocate limited resources to a set of assets in order to attain a targeted level of return
We present the results of an empirical study to show the feasibility and practicability of the approach that are proposed
Based on the historical monthly prices of our asset’s sample from 1 January 2020 to 31 December 2020, we computed the monthly returns for each asset
Summary
Portfolio selection is a research topic of primordial importance in financial markets [1]. Mansour et al [22] proposed a fuzzy multi-objective portfolio selection method considering investor preferences regarding risk, return, and liquidity. The authors use a fuzzy interactive approach to solve a proposed portfolio selection problem They prove that investors who are interested in SRI must be ready to pay a minimal financial cost in exchange for ethical goals. Gasser et al [42] revisited Markowitz’ portfolio selection theory and proposed a modification allowing the incorporation of a social responsibility measure into the investment decision making process by proposing a three-objective model based on return, risk, and ESG scores. The aim of this study was to suggest a fuzzy intuitionistic interactive approach in order to solve a socially responsible portfolio selection problem and to compare the finding results with a fuzzy interactive approach [6,8]. Mathematical Model we formulate a portfolio selection problem as an optimization problem with multiple objectives
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