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Selecting SRI Financial Portfolios Applying MV-SGP Model

In: Socially Responsible Investment

Author

Listed:
  • Enrique Ballestero

    (Universitat Politècnica de València)

  • Ana Garcia-Bernabeu

    (Universitat Politècnica de València)

Abstract

In 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 function

Suggested Citation

  • Enrique Ballestero & Ana Garcia-Bernabeu, 2015. "Selecting SRI Financial Portfolios Applying MV-SGP Model," International Series in Operations Research & Management Science, in: Enrique Ballestero & Blanca Pérez-Gladish & Ana Garcia-Bernabeu (ed.), Socially Responsible Investment, edition 127, chapter 0, pages 131-141, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-11836-9_6
    DOI: 10.1007/978-3-319-11836-9_6
    as

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