메뉴 건너뛰기




Volumn 37, Issue , 2013, Pages 318-337

Hybrid optimization models of portfolio selection involving financial and ethical considerations

Author keywords

AHP; Ethical investing; Fuzzy set theory; Multiple criteria decision making; Portfolio optimization

Indexed keywords

AHP; ANALYTICAL HIERARCHY PROCESS; CAPITAL MARKETS; CONSTRUCT MODELS; ETHICAL CONSIDERATIONS; ETHICAL INVESTING; FUZZY MULTIPLE CRITERIA DECISION MAKING; HYBRID OPTIMIZATION; MULTIPLE CRITERIA DECISION MAKING; PORTFOLIO OPTIMIZATION; PORTFOLIO OPTIMIZATION MODELS; PORTFOLIO SELECTION;

EID: 84870059680     PISSN: 09507051     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.knosys.2012.08.014     Document Type: Article
Times cited : (43)

References (56)
  • 5
    • 33750080182 scopus 로고    scopus 로고
    • Beyond dichotomy: The curvilinear relationship between social responsibility and financial performance
    • M.L. Barnett, and R.M. Salomon Beyond dichotomy: the curvilinear relationship between social responsibility and financial performance Strategic Management Journal 27 11 2006 1101 1122
    • (2006) Strategic Management Journal , vol.27 , Issue.11 , pp. 1101-1122
    • Barnett, M.L.1    Salomon, R.M.2
  • 8
    • 18144388600 scopus 로고    scopus 로고
    • International evidence on ethical mutual fund performance and investment style
    • R. Bauer, K. Koedijk, and R. Otten International evidence on ethical mutual fund performance and investment style Journal of Banking and Finance 29 7 2005 1751 1767
    • (2005) Journal of Banking and Finance , vol.29 , Issue.7 , pp. 1751-1767
    • Bauer, R.1    Koedijk, K.2    Otten, R.3
  • 11
    • 73349085920 scopus 로고    scopus 로고
    • Individual and corporate social responsibility
    • R. Bénabou, and J. Tirole Individual and corporate social responsibility Economica 77 305 2010 1 19
    • (2010) Economica , vol.77 , Issue.305 , pp. 1-19
    • Bénabou, R.1    Tirole, J.2
  • 12
    • 48749093997 scopus 로고    scopus 로고
    • Socially responsible investment funds: Investor reaction to current and past returns
    • K.L. Benson, and J.E. Humphrey Socially responsible investment funds: investor reaction to current and past returns Journal of Banking and Finance 32 9 2008 1850 1859
    • (2008) Journal of Banking and Finance , vol.32 , Issue.9 , pp. 1850-1859
    • Benson, K.L.1    Humphrey, J.E.2
  • 13
    • 84855869326 scopus 로고    scopus 로고
    • Selection of socially responsible portfolios using goal programming and fuzzy technology
    • A. Bilbao-Terol, M. Arenas-Parra, and V. Cañal-Fernández Selection of socially responsible portfolios using goal programming and fuzzy technology Information Sciences 189 2012 110 125
    • (2012) Information Sciences , vol.189 , pp. 110-125
    • Bilbao-Terol, A.1    Arenas-Parra, M.2    Cañal-Fernández, V.3
  • 16
    • 75849150270 scopus 로고    scopus 로고
    • Managing the consensus in group decision making in an unbalanced fuzzy linguistic context with incomplete information
    • F.J. Cabrerizo, I.J. Pérez, and E. Herrera-Viedma Managing the consensus in group decision making in an unbalanced fuzzy linguistic context with incomplete information Knowledge-Based Systems 23 2 2010 169 181
    • (2010) Knowledge-Based Systems , vol.23 , Issue.2 , pp. 169-181
    • Cabrerizo, F.J.1    Pérez, I.J.2    Herrera-Viedma, E.3
  • 17
    • 0037118182 scopus 로고    scopus 로고
    • A survey analysis of service quality for domestic airlines
    • Y.H. Chang, and C.H. Yeh A survey analysis of service quality for domestic airlines European Journal of Operational Research 139 1 2002 166 177
    • (2002) European Journal of Operational Research , vol.139 , Issue.1 , pp. 166-177
    • Chang, Y.H.1    Yeh, C.H.2
  • 18
    • 0002296389 scopus 로고    scopus 로고
    • Extensions to the TOPSIS for group decision-making under fuzzy environment
    • C.T. Chen Extensions to the TOPSIS for group decision-making under fuzzy environment Fuzzy Sets and Systems 114 1 2000 1 9
    • (2000) Fuzzy Sets and Systems , vol.114 , Issue.1 , pp. 1-9
    • Chen, C.T.1
  • 19
    • 80051784869 scopus 로고    scopus 로고
    • The environmental and macroeconomic effects of socially responsible investment
    • L. Dam, and B.J. Heijdra The environmental and macroeconomic effects of socially responsible investment Journal of Economic Dynamics and Control 35 9 2011 1424 1434
    • (2011) Journal of Economic Dynamics and Control , vol.35 , Issue.9 , pp. 1424-1434
    • Dam, L.1    Heijdra, B.J.2
  • 21
    • 84892351315 scopus 로고    scopus 로고
    • second ed. Springer Berlin, Heidelberg, New York
    • M. Ehrgott Multicriteria Optimization second ed. 2005 Springer Berlin, Heidelberg, New York
    • (2005) Multicriteria Optimization
    • Ehrgott, M.1
  • 22
    • 33748419820 scopus 로고    scopus 로고
    • Portfolio rebalancing model with transaction costs based on fuzzy decision theory
    • Y. Fang, K.K. Lai, and S.-Y. Wang Portfolio rebalancing model with transaction costs based on fuzzy decision theory European Journal of Operational Research 175 2 2006 879 893
    • (2006) European Journal of Operational Research , vol.175 , Issue.2 , pp. 879-893
    • Fang, Y.1    Lai, K.K.2    Wang, S.-Y.3
  • 23
    • 0034237176 scopus 로고    scopus 로고
    • Performance evaluation for airlines including the consideration of financial ratios
    • C.M. Feng, and R.T. Wang Performance evaluation for airlines including the consideration of financial ratios Journal of Air Transport Management 6 3 2000 133 142
    • (2000) Journal of Air Transport Management , vol.6 , Issue.3 , pp. 133-142
    • Feng, C.M.1    Wang, R.T.2
  • 24
    • 46449129641 scopus 로고    scopus 로고
    • Performance of ethical mutual funds in Spain: Sacrifice or premium?
    • A. Fernandez-Izquierdo, and J.C. Matallin-Saez Performance of ethical mutual funds in Spain: sacrifice or premium? Journal of Business Ethics 81 2 2008 247 260
    • (2008) Journal of Business Ethics , vol.81 , Issue.2 , pp. 247-260
    • Fernandez-Izquierdo, A.1    Matallin-Saez, J.C.2
  • 25
    • 55149118403 scopus 로고    scopus 로고
    • The stocks at stake: Return and risk in socially responsible investment
    • R. Galema, A. Plantinga, and B. Scholtens The stocks at stake: return and risk in socially responsible investment Journal of Banking and Finance 32 12 2008 2646 2654
    • (2008) Journal of Banking and Finance , vol.32 , Issue.12 , pp. 2646-2654
    • Galema, R.1    Plantinga, A.2    Scholtens, B.3
  • 27
    • 56349152568 scopus 로고    scopus 로고
    • Evaluation of hazardous waste transportation firms by using a two step fuzzy-AHP and TOPSIS methodology
    • A.T. Gumus Evaluation of hazardous waste transportation firms by using a two step fuzzy-AHP and TOPSIS methodology Expert Systems with Applications 36 2 2009 4067 4074
    • (2009) Expert Systems with Applications , vol.36 , Issue.2 , pp. 4067-4074
    • Gumus, A.T.1
  • 28
    • 38349045558 scopus 로고    scopus 로고
    • Asset portfolio optimization using fuzzy mathematical programming
    • P. Gupta, M.K. Mehlawat, and A. Saxena Asset portfolio optimization using fuzzy mathematical programming Information Sciences 178 6 2008 1734 1755
    • (2008) Information Sciences , vol.178 , Issue.6 , pp. 1734-1755
    • Gupta, P.1    Mehlawat, M.K.2    Saxena, A.3
  • 29
    • 77649337781 scopus 로고    scopus 로고
    • A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality
    • P. Gupta, M.K. Mehlawat, and A. Saxena A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality Information Sciences 180 11 2010 2264 2285
    • (2010) Information Sciences , vol.180 , Issue.11 , pp. 2264-2285
    • Gupta, P.1    Mehlawat, M.K.2    Saxena, A.3
  • 30
    • 79151483064 scopus 로고    scopus 로고
    • A hybrid approach for constructing suitable and optimal portfolios
    • P. Gupta, M. Inuiguchi, and M.K. Mehlawat A hybrid approach for constructing suitable and optimal portfolios Expert Systems with Applications 38 5 2011 5620 5632
    • (2011) Expert Systems with Applications , vol.38 , Issue.5 , pp. 5620-5632
    • Gupta, P.1    Inuiguchi, M.2    Mehlawat, M.K.3
  • 31
    • 84863723081 scopus 로고    scopus 로고
    • Asset portfolio optimization using support vector machines and real-coded genetic algorithm
    • P. Gupta, M.K. Mehlawat, and G. Mittal Asset portfolio optimization using support vector machines and real-coded genetic algorithm Journal of Global Optimization 53 2 2012 297 315
    • (2012) Journal of Global Optimization , vol.53 , Issue.2 , pp. 297-315
    • Gupta, P.1    Mehlawat, M.K.2    Mittal, G.3
  • 34
    • 67549131986 scopus 로고    scopus 로고
    • The price of sin: The effects of social norms on markets
    • H. Hong, and M. Kacperczyk The price of sin: the effects of social norms on markets Journal of Financial Economics 93 1 2009 15 36
    • (2009) Journal of Financial Economics , vol.93 , Issue.1 , pp. 15-36
    • Hong, H.1    Kacperczyk, M.2
  • 36
    • 35548966695 scopus 로고    scopus 로고
    • The effect of socially responsible investing on portfolio performance
    • A. Kempf, and P. Osthoff The effect of socially responsible investing on portfolio performance European Financial Management 13 5 2007 908 922
    • (2007) European Financial Management , vol.13 , Issue.5 , pp. 908-922
    • Kempf, A.1    Osthoff, P.2
  • 37
    • 0036005189 scopus 로고    scopus 로고
    • Ethical screening in modern financial markets: The conflicting claims underlying socially responsible investment
    • M.S. Knoll Ethical screening in modern financial markets: the conflicting claims underlying socially responsible investment Business Lawyer 57 2002 681 726
    • (2002) Business Lawyer , vol.57 , pp. 681-726
    • Knoll, M.S.1
  • 39
    • 26844524726 scopus 로고    scopus 로고
    • A fuzzy multi-criteria decision making model for the selection of distribution center
    • H.-S. Lee A fuzzy multi-criteria decision making model for the selection of distribution center Lecture Notes in Computer Science 3612 2005 1290 1299
    • (2005) Lecture Notes in Computer Science , vol.3612 , pp. 1290-1299
    • Lee, H.-S.1
  • 40
    • 84995186518 scopus 로고
    • Portfolio selection
    • H. Markowitz Portfolio selection Journal of Finance 7 1 1952 77 91
    • (1952) Journal of Finance , vol.7 , Issue.1 , pp. 77-91
    • Markowitz, H.1
  • 44
    • 48749108761 scopus 로고    scopus 로고
    • Socially responsible investments: Institutional aspects, performance and investor behavior
    • L. Renneboog, J.T. Horst, and C. Zhang Socially responsible investments: institutional aspects, performance and investor behavior Journal of Banking and Finance 32 9 2008 1723 1742
    • (2008) Journal of Banking and Finance , vol.32 , Issue.9 , pp. 1723-1742
    • Renneboog, L.1    Horst, J.T.2    Zhang, C.3
  • 45
    • 53449102906 scopus 로고    scopus 로고
    • Decision making with the analytic hierarchy process
    • T.L. Saaty Decision making with the analytic hierarchy process International Journal of Service Sciences 1 1 2008 83 98
    • (2008) International Journal of Service Sciences , vol.1 , Issue.1 , pp. 83-98
    • Saaty, T.L.1
  • 48
    • 84856043672 scopus 로고
    • The mathematical theory of communication
    • 623-656, July, October (Reprinted University of Illiois Press, Urbana, IL, USA (1998) 3-91)
    • C.E. Shannon, The mathematical theory of communication, Bell System Technical Journal 27 (1948) 379-423, 623-656, July, October (Reprinted University of Illiois Press, Urbana, IL, USA (1998) 3-91).
    • (1948) Bell System Technical Journal , vol.27 , pp. 379-423
    • Shannon, C.E.1
  • 49
    • 69649099483 scopus 로고    scopus 로고
    • The sustainability balanced scorecard as a framework for selecting socially responsible investment: An effective MCDM model
    • W.-H. Tsai, W.-C. Chou, and W. Hsu The sustainability balanced scorecard as a framework for selecting socially responsible investment: an effective MCDM model Journal of the Operational Research Society 60 10 2009 1396 1410
    • (2009) Journal of the Operational Research Society , vol.60 , Issue.10 , pp. 1396-1410
    • Tsai, W.-H.1    Chou, W.-C.2    Hsu, W.3
  • 50
    • 37349115367 scopus 로고    scopus 로고
    • Applying FMCDM to evaluate financial performance of domestic airlines in Taiwan
    • Y.J. Wang Applying FMCDM to evaluate financial performance of domestic airlines in Taiwan Expert Systems with Applications 34 3 2008 1837 1845
    • (2008) Expert Systems with Applications , vol.34 , Issue.3 , pp. 1837-1845
    • Wang, Y.J.1
  • 52
    • 0000575860 scopus 로고
    • Criteria for evaluating fuzzy ranking methods
    • Y. Yuan Criteria for evaluating fuzzy ranking methods Fuzzy Sets and Systems 43 2 1991 139 157
    • (1991) Fuzzy Sets and Systems , vol.43 , Issue.2 , pp. 139-157
    • Yuan, Y.1
  • 54
    • 84870967010 scopus 로고    scopus 로고
    • last accessed on 06.12
    • Ethical Investment Research Service, 2012. < www.eiris.org/files/ products/EIRISSustainabilityRatings.pdf > (last accessed on 06.12).
    • (2012) Ethical Investment Research Service
  • 55
    • 84870964349 scopus 로고    scopus 로고
    • KLD Research & Analytics, Inc. last accessed on 06.12
    • KLD Research & Analytics, Inc., 2012. < www.kld.com > (last accessed on 06.12).
    • (2012)
  • 56
    • 84870966043 scopus 로고    scopus 로고
    • Natural Capital Institute last accessed 06.12
    • Natural Capital Institute, 2004. < www.naturalcapital.org/docs/ SRIReport10-04-word.pdf > (last accessed 06.12).
    • (2004)


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.