1484. Sustainability portfolio investing in the presence of the risk–free asset
Invited abstract in session MD-9: Green Investment on Capital Market, stream OR in Finance and Insurance .
Monday, 14:30-16:00Room: Clarendon SR 2.01
Authors (first author is the speaker)
| 1. | Janusz Miroforidis
|
| Department of Decision Support in the Presence of Risk, Systems Research Institute, Polish Academy of Sciences | |
| 2. | Przemysław Juszczuk
|
| Department of Knowledge Engineering, University of Economics in Katowice | |
| 3. | Ignacy Kaliszewski
|
| Systems Research Institute |
Abstract
In the financial research community, the need to consider more aspects than return and risk, such as dividends, liquidity, and social responsibility, was noticed early. In particular, the popularity of socially responsible investment has considerably increased over the past several decades. To measure how much social responsibility is accounted for investments, combinations of environmental, social, and governance factors, the ESG index, are assigned to assets. Therefore, incorporating the portfolio ESG index into the classic Markowitz model is natural, and such extensions are present in the literature. However, in these tri-criteria models, the existence of the risk-free asset is not considered. We fill this intriguing gap by proposing a procedure to select a portfolio in the presence of the risk–free asset for the tri-criteria model. We illustrate the operation of this procedure on real data.
Keywords
- Multi-Objective Decision Making
- Programming, Multi-Objective
- Finance and Banking
Status: accepted
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