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Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

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Cited by:

  1. Gallucci, Carmen & Santulli, Rosalia & Lagasio, Valentina, 2022. "The conceptualization of environmental, social and governance risks in portfolio studies A systematic literature review," Socio-Economic Planning Sciences, Elsevier, vol. 84(C).
  2. Dobrovolskienė Nomeda & Tamošiūnienė Rima, 2015. "Financial Resource Allocation in a Project Portfolio: Analysing the Necessity to Integrate Sustainability into Resource Allocation," Scientific Annals of Economics and Business, Sciendo, vol. 62(3), pages 369-382, November.
  3. Özge Sahin & Karoline Bax & Claudia Czado & Sandra Paterlini, 2022. "Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 29(5), pages 1782-1798, September.
  4. Dorfleitner, Gregor & Röhe, Michaela & Renier, Noémie, 2017. "The access of microfinance institutions to debt capital: An empirical investigation of microfinance investment vehicles," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 1-15.
  5. 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.
  6. Petrillo, Antonella & De Felice, Fabio & García-Melón, Mónica & Pérez-Gladish, Blanca, 2016. "Investing in socially responsible mutual funds: Proposal of non-financial ranking in Italian market," Research in International Business and Finance, Elsevier, vol. 37(C), pages 541-555.
  7. Kellner, Florian & Lienland, Bernhard & Utz, Sebastian, 2019. "An a posteriori decision support methodology for solving the multi-criteria supplier selection problem," European Journal of Operational Research, Elsevier, vol. 272(2), pages 505-522.
  8. 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.
  9. Gregor Dorfleitner & Mai Nguyen, 2017. "A new approach for optimizing responsible investments dependently on the initial wealth," Journal of Asset Management, Palgrave Macmillan, vol. 18(2), pages 81-98, March.
  10. 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.
  11. Merve Bodur & Timothy C. Y. Chan & Ian Yihang Zhu, 2022. "Inverse Mixed Integer Optimization: Polyhedral Insights and Trust Region Methods," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1471-1488, May.
  12. A. Hilario-Caballero & A. Garcia-Bernabeu & J. V. Salcedo & M. Vercher, 2020. "Tri-criterion model for constructing low-carbon mutual fund portfolios: a preference-based multi-objective genetic algorithm approach," Papers 2006.11888, arXiv.org.
  13. 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).
  14. Gaganis, Chrysovalantis & Pasiouras, Fotios & Tasiou, Menelaos & Zopounidis, Constantin, 2021. "CISEF: A composite index of social, environmental and financial performance," European Journal of Operational Research, Elsevier, vol. 291(1), pages 394-409.
  15. 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.
  16. 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.
  17. Carlo Drago & Loris Di Nallo & Maria Lucetta Russotto, 2023. "Social Sustainability in European Banks: A Machine Learning Approach using Interval- Based Composite Indicators," Working Papers 2023.13, Fondazione Eni Enrico Mattei.
  18. Xiang Deng & Xiang Cheng & Jing Gu & Zeshui Xu, 2021. "An Innovative Indicator System and Group Decision Framework for Assessing Sustainable Development Enterprises," Group Decision and Negotiation, Springer, vol. 30(6), pages 1201-1238, December.
  19. Bekiros, Stelios & Hernandez, Jose Arreola & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2015. "Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios," Resources Policy, Elsevier, vol. 46(P2), pages 1-11.
  20. Bilbao-Terol, Amelia & Álvarez-Otero, Susana & Bilbao-Terol, Celia & Cañal-Fernández, Verónica, 2017. "Hedonic evaluation of the SRI label of mutual funds using matching methodology," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 213-227.
  21. Jano-Ito, Marco A. & Crawford-Brown, Douglas, 2017. "Investment decisions considering economic, environmental and social factors: An actors' perspective for the electricity sector of Mexico," Energy, Elsevier, vol. 121(C), pages 92-106.
  22. Weiping Wu & Yu Lin & Jianjun Gao & Ke Zhou, 2023. "Mean-variance hybrid portfolio optimization with quantile-based risk measure," Papers 2303.15830, arXiv.org, revised Apr 2023.
  23. 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).
  24. K. Liagkouras & K. Metaxiotis & G. Tsihrintzis, 2022. "Incorporating environmental and social considerations into the portfolio optimization process," Annals of Operations Research, Springer, vol. 316(2), pages 1493-1518, September.
  25. Eduardo C. Garrido-Merch'an & Gabriel Gonz'alez Piris & Maria Coronado Vaca, 2023. "Bayesian Optimization of ESG Financial Investments," Papers 2303.01485, arXiv.org.
  26. Francesco Cesarone & Lorenzo Lampariello & Davide Merolla & Jacopo Maria Ricci & Simone Sagratella & Valerio Giuseppe Sasso, 2023. "A bilevel approach to ESG multi-portfolio selection," Computational Management Science, Springer, vol. 20(1), pages 1-23, December.
  27. Fernando García & Jairo González-Bueno & Javier Oliver & Nicola Riley, 2019. "Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach," Sustainability, MDPI, vol. 11(9), pages 1-14, April.
  28. Aydin Aslan & Peter N. Posch, 2022. "How Do Investors Value Sustainability? A Utility-Based Preference Optimization," Sustainability, MDPI, vol. 14(23), pages 1-15, November.
  29. John B. Guerard & Harry Markowitz & Ganlin Xu & Ziwei Wang, 2018. "Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth," Annals of Operations Research, Springer, vol. 267(1), pages 203-219, August.
  30. Francesco Cesarone & Manuel L. Martino & Fabio Tardella, 2023. "Mean-Variance-VaR portfolios: MIQP formulation and performance analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(3), pages 1043-1069, September.
  31. Shi Yu & Haoran Wang & Chaosheng Dong, 2020. "Learning Risk Preferences from Investment Portfolios Using Inverse Optimization," Papers 2010.01687, arXiv.org, revised Feb 2021.
  32. Fatma Zohra Ouaïl & Mohamed El-Amine Chergui, 2018. "A branch-and-cut technique to solve multiobjective integer quadratic programming problems," Annals of Operations Research, Springer, vol. 267(1), pages 431-446, August.
  33. Meyer, Julia, 2024. "Willingness to take risks for sustainability during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 59(C).
  34. Yong-Jun Liu & Wei-Guo Zhang, 2019. "Possibilistic Moment Models for Multi-period Portfolio Selection with Fuzzy Returns," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1657-1686, April.
  35. A. Garcia-Bernabeu & J. V. Salcedo & A. Hilario & D. Pla-Santamaria & Juan M. Herrero, 2019. "Computing the Mean-Variance-Sustainability Nondominated Surface by ev-MOGA," Complexity, Hindawi, vol. 2019, pages 1-12, December.
  36. Nomeda Dobrovolskienė & Rima Tamošiūnienė, 2016. "Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making," Sustainability, MDPI, vol. 8(5), pages 1-18, May.
  37. Yahya Hanine & Youssef Lamrani Alaoui & Mohamed Tkiouat & Younes Lahrichi, 2021. "Socially Responsible Portfolio Selection: An Interactive Intuitionistic Fuzzy Approach," Mathematics, MDPI, vol. 9(23), pages 1-13, November.
  38. Laura Fabregat-Aibar & M. Glòria Barberà-Mariné & Antonio Terceño & Laia Pié, 2019. "A Bibliometric and Visualization Analysis of Socially Responsible Funds," Sustainability, MDPI, vol. 11(9), pages 1-17, May.
  39. Gabriel, Vítor, 2018. "Environmentally sustainable investment: Dynamics between global thematic indices," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
  40. 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.
  41. Gasser, Stephan M. & Rammerstorfer, Margarethe & Weinmayer, Karl, 2017. "Markowitz revisited: Social portfolio engineering," European Journal of Operational Research, Elsevier, vol. 258(3), pages 1181-1190.
  42. Massimiliano Kaucic & Filippo Piccotto & Gabriele Sbaiz & Giorgio Valentinuz, 2023. "Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(4), pages 1-4.
  43. Florian Methling & Rüdiger Nitzsch, 2019. "Thematic portfolio optimization: challenging the core satellite approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 133-154, June.
  44. Sabastian Utz & Maximillian Wimmer, 2014. "Are they any good at all? A financial and ethical analysis of socially responsible mutual funds," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 72-82, February.
  45. Muñoz, Fernando, 2016. "Cash flow timing skills of socially responsible mutual fund investors," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 110-124.
  46. Adolfo Hilario-Caballero & Ana Garcia-Bernabeu & Jose Vicente Salcedo & Marisa Vercher, 2020. "Tri-Criterion Model for Constructing Low-Carbon Mutual Fund Portfolios: A Preference-Based Multi-Objective Genetic Algorithm Approach," IJERPH, MDPI, vol. 17(17), pages 1-15, August.
  47. Costanza Torricelli & Beatrice Bertelli, 2022. "ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0088, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  48. Oikonomou, Ioannis & Platanakis, Emmanouil & Sutcliffe, Charles, 2018. "Socially responsible investment portfolios: Does the optimization process matter?," The British Accounting Review, Elsevier, vol. 50(4), pages 379-401.
  49. 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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