Abstract
This research presents a novel framework for selecting Socially Responsible Investment (SRI) portfolios. The Hedonic Price Method (HPM) is applied to obtain an evaluation of SRI criteria that is integrated into a multi–objective mathematical programming model. This approach allows us to obtain a portfolio whose financial performance is similar to which the investor would have reached if he or she had not taken into account Social, Ethical and Environmental (SEE) characteristics when making his or her investment decisions. This methodology is applied to portfolios composed of socially responsible and conventional mutual funds domiciled in Spain.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Similar content being viewed by others
References
Basso, A., Funari, S.: Measuring the performance of ethical mutual funds: a DEA approach. J. Oper. Res. Soc. 54, 521–531 (2003)
Barrachini, C.: An ethical investments evaluation for portfolio selection. Electron. J. Bus., Ethics Org. Stud., 9(1), (2004).
Barnett, M., Salomon, R.: Beyond dichotomy: the curvilinear relationship between social responsibility and financial performance. Strateg. Manage. J. 27, 1101–1122 (2006)
Kempf, A., Osthoff, P.: SRI Funds: Nomen est Omen. J. Bus. Finance Account. 35(9), 1276–1294 (2008)
Rosen, S.: Hedonic prices and implicit markets: Product differentiation in pure competition. J. Polit. Econ. 82(1), 34–55 (1974)
Bilbao, C., Canal, V.: The market valuation of ethical assets in Spain: An application of the hedonic pricing method. Bus. Ethics: A, Eur. Rev. (2012). (in revision).
Zeleny, M.: Linear Multiobjective Programming. Springer, Berlin (1974)
Ignizio, J.P.: Linear Programming in Single and Multiple Objective Systems. Prentice-Hall, Englewood Cliffs, N.J. (1982)
Ballestero, E., Romero, C.: Portfolio selection: A compromise programming solution. J. Oper. Res. Soc. 47(11), 1377–1386 (1996)
Arenas, M., Bilbao, A., Rodriguez, M.V.: A fuzzy goal programming approach to portfolio selection. Eur. J. Oper. Res. 133(2), 287–297 (2001)
Hallerbach, W., Ning, H., Soppe, A., Spronk, J.: A framework for managing a portfolio of socially responsible investments. Eur. J. Oper. Res. 153(2), 517–529 (2004)
Bilbao, A., Arenas, M., Canal, V.: Selection of socially responsible portfolios using goal programming and fuzzy technology. Inf. Sci. 189, 110–125 (2012)
Lancaster, K.J.: A new approach to consumer theory. J. Polit. Econ. 7(2), 132–157 (1966)
Rockafellar, R.T., Uryasev, S.: Optimization of conditional value-at-risk. J. Risk 2, 21–41 (2000)
Meucci, A.: Risk and Asset Allocation. Springer Quantitative Finance, Berlin (2007)
Acknowledgments
The authors wish to gratefully acknowledge the financial support from the Spanish Ministry of Education, Project ECO2011-26499.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer International Publishing Switzerland
About this paper
Cite this paper
Bilbao-Terol, A., Arenas-Parra, M., Canal-Fernandez, V., Bilbao-Terol, C. (2014). Selection of Socially Responsible Portfolios Using Hedonic Prices. In: Helber, S., et al. Operations Research Proceedings 2012. Operations Research Proceedings. Springer, Cham. https://doi.org/10.1007/978-3-319-00795-3_8
Download citation
DOI: https://doi.org/10.1007/978-3-319-00795-3_8
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-00794-6
Online ISBN: 978-3-319-00795-3
eBook Packages: Business and EconomicsBusiness and Management (R0)