Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection.
Mean-Variance Stochastic Goal Programming models (MV-SGP) provide satisficing investment solutions in uncertain contexts. In this work, an MV-SGP model is proposed for portfolio selection which includes goals with regards to traditional and sustainable assets. The proposed approach is based on a two...
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| Format: | Article |
| Language: | English |
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ASEPUMA. Asociación Española de Profesores Universitarios de Matemáticas aplicadas a la Economía y a la Empresa
2015-11-01
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| Series: | Rect@ |
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| Online Access: | http://urls.my/oBzqmE |
| _version_ | 1818498863940501504 |
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| author | García-Bernabeu, Ana Pla, David Bravo, Mila Pérez-Gladish, Blanca |
| author_facet | García-Bernabeu, Ana Pla, David Bravo, Mila Pérez-Gladish, Blanca |
| author_sort | García-Bernabeu, Ana |
| collection | DOAJ |
| description | Mean-Variance Stochastic Goal Programming models (MV-SGP) provide satisficing investment solutions in uncertain contexts. In this work, an MV-SGP model is proposed for portfolio selection which includes goals with regards to traditional and sustainable assets. The proposed approach is based on a two-step procedure. In the first step, sustainability and/or financial screens are applied to a set of assets (mutual funds) previously evaluated with TOPSIS to determine the opportunity set. In a second step, satisficing portfolios of assets are obtained using a Goal Programming approach. Two different goals are considered. The first goal reflects only the purely financial side of the target while the second goal is referred to the sustainable side. Aversion to Risk Absolute (ARA) coefficients are estimated and incorporated in our investment decision making approach using two different approaches. |
| first_indexed | 2024-12-10T20:21:23Z |
| format | Article |
| id | doaj.art-8e56f673bc084549b9353086621a7cee |
| institution | Directory Open Access Journal |
| issn | 1575-605X 1575-605X |
| language | English |
| last_indexed | 2024-12-10T20:21:23Z |
| publishDate | 2015-11-01 |
| publisher | ASEPUMA. Asociación Española de Profesores Universitarios de Matemáticas aplicadas a la Economía y a la Empresa |
| record_format | Article |
| series | Rect@ |
| spelling | doaj.art-8e56f673bc084549b9353086621a7cee2022-12-22T01:35:01ZengASEPUMA. Asociación Española de Profesores Universitarios de Matemáticas aplicadas a la Economía y a la EmpresaRect@1575-605X1575-605X2015-11-01162135147Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection.García-Bernabeu, Ana0Pla, David1Bravo, Mila2Pérez-Gladish, Blanca3Universitat Politècnica de ValènciaUniversitat Politècnica de ValènciaUniversitat Politècnica de ValènciaUniversidad de OviedoMean-Variance Stochastic Goal Programming models (MV-SGP) provide satisficing investment solutions in uncertain contexts. In this work, an MV-SGP model is proposed for portfolio selection which includes goals with regards to traditional and sustainable assets. The proposed approach is based on a two-step procedure. In the first step, sustainability and/or financial screens are applied to a set of assets (mutual funds) previously evaluated with TOPSIS to determine the opportunity set. In a second step, satisficing portfolios of assets are obtained using a Goal Programming approach. Two different goals are considered. The first goal reflects only the purely financial side of the target while the second goal is referred to the sustainable side. Aversion to Risk Absolute (ARA) coefficients are estimated and incorporated in our investment decision making approach using two different approaches.http://urls.my/oBzqmEMean-Variance portfolio selection modelTOPSIS; Stochastic Goal Programming; Expected Utility Theory; ARA coefficients; Mutual FundsTOPSISStochastic Goal ProgrammingExpected Utility Theory; ARA coefficientsExpected Utility TheoryARA coefficientsMutual Funds |
| spellingShingle | García-Bernabeu, Ana Pla, David Bravo, Mila Pérez-Gladish, Blanca Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection. Rect@ Mean-Variance portfolio selection model TOPSIS; Stochastic Goal Programming; Expected Utility Theory; ARA coefficients; Mutual Funds TOPSIS Stochastic Goal Programming Expected Utility Theory; ARA coefficients Expected Utility Theory ARA coefficients Mutual Funds |
| title | Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection. |
| title_full | Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection. |
| title_fullStr | Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection. |
| title_full_unstemmed | Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection. |
| title_short | Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection. |
| title_sort | mean variance stochastic goal programming for sustainable mutual funds portfolio selection |
| topic | Mean-Variance portfolio selection model TOPSIS; Stochastic Goal Programming; Expected Utility Theory; ARA coefficients; Mutual Funds TOPSIS Stochastic Goal Programming Expected Utility Theory; ARA coefficients Expected Utility Theory ARA coefficients Mutual Funds |
| url | http://urls.my/oBzqmE |
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