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An Actual Case of SRI Financial Portfolio Choice by MV-SGP

In: Socially Responsible Investment

Author

Listed:
  • Enrique Ballestero

    (Universitat Politècnica de València)

  • Ana Garcia-Bernabeu

    (Universitat Politècnica de València)

  • David Pla-Santamaria

    (Universitat Politècnica de València)

  • Mila Bravo

    (Universitat Politècnica de València)

Abstract

An illustrative example of ethical financial portfolio selection by MV-SGP model is developed through tables and numerical statements. Empirical data are real wide observations coming from international sources. This includes an opportunity set of 80 funds with historical series of weekly returns on the funds and SRI achievement indexes over 5 years time horizon. On this actual database, mean values vectors and covariance matrices are computed as a previous step required to formulate the objective function and constraints of the model. Since the computational structure of MV-SGP is the same as the computational structure of Markowitz-MV, the model is solved by using a Markowitz software application. The results are tabulated and discussed.

Suggested Citation

  • Enrique Ballestero & Ana Garcia-Bernabeu & David Pla-Santamaria & Mila Bravo, 2015. "An Actual Case of SRI Financial Portfolio Choice by MV-SGP," 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 143-152, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-11836-9_7
    DOI: 10.1007/978-3-319-11836-9_7
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