Selección de Carteras de Fondos de Inversión Socialmente Responsables mediante Programación por Metas con Tecnología Difusa

Abstract

In this study a portfolio optimization framework has been developed, taking into account not only conventional financial objectives: maximize the wealth at the end of inversion period, maximize the net profits, or the maximize relative wealth, etc. but also additional ones known as “socially responsible”, associated to the effects of issuer companies over the Society.

The term “Socially Responsible Investment” (SRI) describes the investment process which considers environmental, social, and ethical or governance features of portfolio components. The classical portfolio selection process stands into the usual fundamental investment selection and management process, but a problem arises in considering these types of criteria: how to measure the social responsibility attractiveness of individual mutual funds for each investor.

The multidimensional nature of the portfolio selection problem and imprecision on ethical considerations lead us to work with techniques of Fuzzy Multiple Criteria Decision Making (MCDM) and the evaluation of financial criteria have handled using the expected return and Conditional Value-at-Risk (CVaR). All the financial and ethical criteria are incorporated into a Goal Programming model.