Tri-criterion modeling for constructing more-sustainable mutual funds
From MaRDI portal
Publication:319768
DOI10.1016/j.ejor.2015.04.035zbMath1346.91241OpenAlexW2017425613MaRDI QIDQ319768
Ralph E. Steuer, Sebastian Utz, Maximilian Wimmer
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://epub.uni-regensburg.de/31634/1/preprint.pdf
portfolio selectionmultiple criteria optimizationnondominated surfacesquadratically constrained linear programssocially responsible investing
Multi-objective and goal programming (90C29) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (18)
Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach ⋮ A branch-and-cut technique to solve multiobjective integer quadratic programming problems ⋮ On outperforming social-screening-indexing by multiple-objective portfolio selection ⋮ Sustainable operations ⋮ Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models ⋮ An analytical derivation of the efficient surface in portfolio selection with three criteria ⋮ Incorporating environmental and social considerations into the portfolio optimization process ⋮ A bilevel approach to ESG multi-portfolio selection ⋮ Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset ⋮ Portfolio instability and socially responsible investment: experiments with financial professionals and students ⋮ Non-contour efficient fronts for identifying most preferred portfolios in sustainability investing ⋮ On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection ⋮ Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets ⋮ DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure ⋮ Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model ⋮ An a posteriori decision support methodology for solving the multi-criteria supplier selection problem ⋮ CISEF: a composite index of social, environmental and financial performance ⋮ Tailor-made thematic portfolios: a core satellite optimization
Cites Work
- Synthetic indicators of mutual funds' environmental responsibility: an application of the reference point method
- Multicriteria portfolio management
- Multi-objective stochastic programming for portfolio selection
- Effective implementation of the \(\varepsilon \)-constraint method in multi-objective mathematical programming problems
- A framework for managing a portfolio of socially responsible investments.
- Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
- Computing the Nondominated Surface in Tri-Criterion Portfolio Selection
This page was built for publication: Tri-criterion modeling for constructing more-sustainable mutual funds
