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Synthetic indicators of mutual funds’ environmental responsibility: An application of the Reference Point Method

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  • Cabello, J.M.
  • Ruiz, F.
  • Pérez-Gladish, B.
  • Méndez-Rodríguez, P.

Abstract

Socially Responsible Investing (SRI) is broadly defined as an investment process that integrates not only financial but also social, environmental, and ethical (SEE) considerations into investment decision making. SRI has grown rapidly around the world in the last decades. In the last years, given the causes of the 2008 financial crisis, ethical, social, environmental and governance concerns have become even more relevant investment decision criteria. However, while a diverse set of models have been developed to support investment decision-making based on financial criteria, models including also social responsibility criteria are rather scarce.

Suggested Citation

  • Cabello, J.M. & Ruiz, F. & Pérez-Gladish, B. & Méndez-Rodríguez, P., 2014. "Synthetic indicators of mutual funds’ environmental responsibility: An application of the Reference Point Method," European Journal of Operational Research, Elsevier, vol. 236(1), pages 313-325.
    • Handle: RePEc:eee:ejores:v:236:y:2014:i:1:p:313-325
    DOI: 10.1016/j.ejor.2013.11.031
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    5. F Ruiz & M Luque & J M Cabello, 2009. "A classification of the weighting schemes in reference point procedures for multiobjective programming," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(4), pages 544-553, April.
    6. Bert Scholtens, 2007. "Financial and Social Performance of Socially Responsible Investments in the Netherlands," Corporate Governance: An International Review, Wiley Blackwell, vol. 15(6), pages 1090-1105, November.
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    8. Yves Jegourel & Samuel Maveyraud, 2010. "A reassessment of the European SRI Funds "underperformance": does the intensity of extra-financial negative screening matter?," Economics Bulletin, AccessEcon, vol. 30(1), pages 913-923.
    9. Renneboog, Luc & Ter Horst, Jenke & Zhang, Chendi, 2008. "Socially responsible investments: Institutional aspects, performance, and investor behavior," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1723-1742, September.
    10. Utz, Sebastian & Wimmer, Maximilian & Hirschberger, Markus & Steuer, Ralph E., 2014. "Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds," European Journal of Operational Research, Elsevier, vol. 234(2), pages 491-498.
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    1. Utz, Sebastian & Wimmer, Maximilian & Steuer, Ralph E., 2015. "Tri-criterion modeling for constructing more-sustainable mutual funds," European Journal of Operational Research, Elsevier, vol. 246(1), pages 331-338.
    2. Mónica García-Melón & Blanca Pérez-Gladish & Tomás Gómez-Navarro & Paz Mendez-Rodriguez, 2016. "Assessing mutual funds’ corporate social responsibility: a multistakeholder-AHP based methodology," Annals of Operations Research, Springer, vol. 244(2), pages 475-503, September.
    3. García-Bernabeu, A. & Pla-Santamaria, D. & Bravo, M. & Pérez-Gladish, B., 2015. "La protección medioambiental como criterio en la selección de inversiones socialmente responsables: una aproximación multicriterio," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, vol. 15(01).
    4. Steuer, Ralph E. & Utz, Sebastian, 2023. "Non-contour efficient fronts for identifying most preferred portfolios in sustainability investing," European Journal of Operational Research, Elsevier, vol. 306(2), pages 742-753.
    5. Pinto, F.S. & Figueira, J.R. & Marques, R.C., 2015. "A multi-objective approach with soft constraints for water supply and wastewater coverage improvements," European Journal of Operational Research, Elsevier, vol. 246(2), pages 609-618.
    6. Schlütter, Sebastian & Fianu, Emmanuel Senyo & Gründl, Helmut, 2022. "Responsible investments in life insurers' optimal portfolios under solvency constraints," ICIR Working Paper Series 45/22, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    7. El Gibari, Samira & Gómez, Trinidad & Ruiz, Francisco, 2018. "Evaluating university performance using reference point based composite indicators," Journal of Informetrics, Elsevier, vol. 12(4), pages 1235-1250.
    8. Calvo, Clara & Ivorra, Carlos & Liern, Vicente, 2015. "Finding socially responsible portfolios close to conventional ones," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 52-63.
    9. Ruiz, Francisco & Cabello, José M. & Pérez-Gladish, Blanca, 2018. "Building Ease-of-Doing-Business synthetic indicators using a double reference point approach," Technological Forecasting and Social Change, Elsevier, vol. 131(C), pages 130-140.
    10. Yue Qi & Ralph E. Steuer & Maximilian Wimmer, 2017. "An analytical derivation of the efficient surface in portfolio selection with three criteria," Annals of Operations Research, Springer, vol. 251(1), pages 161-177, April.
    11. Emmanuel Mamatzakis & Mike Tsionas, 2018. "A Bayesian dynamic model to test persistence in funds' performance," Working Paper series 18-23, Rimini Centre for Economic Analysis.
    12. Ruiz, Francisco & El Gibari, Samira & Cabello, José M. & Gómez, Trinidad, 2020. "MRP-WSCI: Multiple reference point based weak and strong composite indicators," Omega, Elsevier, vol. 95(C).
    13. Bilbao-Terol, Amelia & Arenas-Parra, Mar & Cañal-Fernández, Verónica, 2016. "A model based on Copula Theory for sustainable and social responsible investments," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 19(1), pages 55-76.
    14. José Manuel Cabello & Francisco Ruiz & Blanca Pérez-Gladish, 2021. "An Alternative Aggregation Process for Composite Indexes: An Application to the Heritage Foundation Economic Freedom Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 153(2), pages 443-467, January.

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