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A sequential goal programming model with fuzzy hierarchies to sustainable and responsible portfolio selection problem

Author

Listed:
  • Amelia Bilbao-Terol

    (University of Oviedo)

  • Mar Arenas-Parra

    (University of Oviedo)

  • Verónica Cañal-Fernández

    (University of Oviedo)

  • Mariano Jiménez

    (University of Basque Country)

Abstract

Sustainable and responsible (SR) investors have to address two criteria types: both financial ones and those pertaining to sustainability and social responsibility. We present a comfortable tool for SR investors that allow them to express their preferences at two levels: first, by comparing criteria of the same nature, and second, via the comparison between the two superior level criteria (the financial and the SR objectives). Owing to the difficulty involved in determining a precise preference between the conflicting objectives, we address this by goal programming with fuzzy hierarchies (GPFH) modelling. This methodology is a modification of the lexicographic GP approach whereby the relative importance relations among the criteria are modelled by fuzzy relations. The proposed sequential handling for the SR portfolios selection provides information to the investors on the best result they can achieve in regard to their goals. An application to a set of UK-SR mutual funds is presented.

Suggested Citation

  • Amelia Bilbao-Terol & Mar Arenas-Parra & Verónica Cañal-Fernández & Mariano Jiménez, 2016. "A sequential goal programming model with fuzzy hierarchies to sustainable and responsible portfolio selection problem," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 67(10), pages 1259-1273, October.
    • Handle: RePEc:pal:jorsoc:v:67:y:2016:i:10:d:10.1057_jors.2016.33
    DOI: 10.1057/jors.2016.33
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    3. Zhou, Zhongbao & Xiao, Helu & Jin, Qianying & Liu, Wenbin, 2018. "DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure," European Journal of Operational Research, Elsevier, vol. 269(1), pages 111-131.

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