Selección de carteras con criterios de responsabilidad social

Abstract

We present a fuzzy model for the portfolio selection problem that besides cardinality and semicontinuous variable diversification constraints, incorporates a non-financial goal consisting of maximizing social responsibility. This goal is treated as a secondary goal with regard to the main financial goals, i.e maximizing the expected return and minimizing the risk. This means that the investor fixes certain ranges of acceptable returns and risks and the model provides non-necessarily efficient portfolios within these ranges with best social responsibility taking into account how far they are from the efficient frontier. Hence the investor always knows the financial cost he or she is assuming due to the social responsibility criteria. The proposed method is discussed my means of an example about the selection of a portfolio of mutual funds.