Socially responsible investment-based portfolio selection problems with fuzziness

Takashi Hasuike*

*この研究の対応する著者

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)5763-5774
ページ数12
ジャーナルInternational Journal of Innovative Computing, Information and Control
8
8
出版ステータスPublished - 2012 8 1
外部発表はい

ASJC Scopus subject areas

  • ソフトウェア
  • 理論的コンピュータサイエンス
  • 情報システム
  • 計算理論と計算数学

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