Abstract
This paper considers several portfolio selection problems considering Socially Responsible Investment (SRI), which is the most important measure to sustain continuous developments of companies by performing environment-friendliness and suitable social activity, and which is also essential for avoiding the latent risk. Corporate Social Responsibility (CSR) is presented as linguistic and ambiguous information including several types of subjectivities, and so effects of SRI activities for the investment based on the CSR are formulated as fuzzy numbers. Furthermore, several types of portfolio models, considering direct evaluation approach of SRI, fuzzy variance including SRI, and biased future return derived from random simulation, are proposed. In order to evaluate these portfolio performances, a practical example derived from the current market is provided.
| Original language | English |
|---|---|
| Pages (from-to) | 5763-5774 |
| Number of pages | 12 |
| Journal | International Journal of Innovative Computing, Information and Control |
| Volume | 8 |
| Issue number | 8 |
| Publication status | Published - 2012 Aug |
| Externally published | Yes |
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Keywords
- Fuzzy theory
- Portfolio selection problem
- Socially responsible investment
ASJC Scopus subject areas
- Computational Theory and Mathematics
- Information Systems
- Software
- Theoretical Computer Science
Cite this
Socially responsible investment-based portfolio selection problems with fuzziness. / Hasuike, Takashi.
In: International Journal of Innovative Computing, Information and Control, Vol. 8, No. 8, 08.2012, p. 5763-5774.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Socially responsible investment-based portfolio selection problems with fuzziness
AU - Hasuike, Takashi
PY - 2012/8
Y1 - 2012/8
N2 - This paper considers several portfolio selection problems considering Socially Responsible Investment (SRI), which is the most important measure to sustain continuous developments of companies by performing environment-friendliness and suitable social activity, and which is also essential for avoiding the latent risk. Corporate Social Responsibility (CSR) is presented as linguistic and ambiguous information including several types of subjectivities, and so effects of SRI activities for the investment based on the CSR are formulated as fuzzy numbers. Furthermore, several types of portfolio models, considering direct evaluation approach of SRI, fuzzy variance including SRI, and biased future return derived from random simulation, are proposed. In order to evaluate these portfolio performances, a practical example derived from the current market is provided.
AB - This paper considers several portfolio selection problems considering Socially Responsible Investment (SRI), which is the most important measure to sustain continuous developments of companies by performing environment-friendliness and suitable social activity, and which is also essential for avoiding the latent risk. Corporate Social Responsibility (CSR) is presented as linguistic and ambiguous information including several types of subjectivities, and so effects of SRI activities for the investment based on the CSR are formulated as fuzzy numbers. Furthermore, several types of portfolio models, considering direct evaluation approach of SRI, fuzzy variance including SRI, and biased future return derived from random simulation, are proposed. In order to evaluate these portfolio performances, a practical example derived from the current market is provided.
KW - Fuzzy theory
KW - Portfolio selection problem
KW - Socially responsible investment
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UR - http://www.scopus.com/inward/citedby.url?scp=84866020843&partnerID=8YFLogxK
M3 - Article
VL - 8
SP - 5763
EP - 5774
JO - International Journal of Innovative Computing, Information and Control
JF - International Journal of Innovative Computing, Information and Control
SN - 1349-4198
IS - 8
ER -