Socially responsible investment-based portfolio selection problems with fuzziness

Takashi Hasuike*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

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 languageEnglish
Pages (from-to)5763-5774
Number of pages12
JournalInternational Journal of Innovative Computing, Information and Control
Volume8
Issue number8
Publication statusPublished - 2012 Aug 1
Externally publishedYes

Keywords

  • Fuzzy theory
  • Portfolio selection problem
  • Socially responsible investment

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science
  • Information Systems
  • Computational Theory and Mathematics

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