On outperforming social-screening-indexing by multiple-objective portfolio selection

DOI10.1007/s10479-018-2921-0zbMath1416.91359OpenAlexW2807716572MaRDI QIDQ1615971

Yue Qi

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2921-0

zbMATH Keywords

multiple-objective optimizationnondominated setparaboloidmultiple-objective portfolio selectionsocially responsible investment (SRI)

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Related Items (2)

Incorporating environmental and social considerations into the portfolio optimization process ⋮ Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets

Cites Work

• Tri-criterion modeling for constructing more-sustainable mutual funds
• Multiple criteria decision aiding for finance: an updated bibliographic survey
• Multiple criteria decision making combined with finance: a categorized bibliographic study.
• A framework for managing a portfolio of socially responsible investments.
• Markowitz revisited: social portfolio engineering
• An analytical derivation of the efficient surface in portfolio selection with three criteria
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• Computing the Nondominated Surface in Tri-Criterion Portfolio Selection
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