2026-05-20T06:58:27Zhttps://riubu.ubu.es/oai/request

oai:riubu.ubu.es:10259/73932024-12-20T12:22:56Zcom_10259_5645com_10259_5086com_10259_2604col_10259_5646

Selection of investment portfolios with social responsibility: a multiobjective model and a Tabu search method Pacheco Bonrostro, Joaquín Cepa Serrano, Lara Puche Regaliza, Julio César Casado Yusta, Silvia Portfolio investment Social responsability Multiobjective optimization Tabu search MOAMP NSGA-II SPEA-II MOPSO Financial assessment Economía Economics In this study, a model for the selection of investment portfolios is proposed with three objectives. In addition to the traditional objectives of maximizing profitability and minimizing risk, maximization of social responsibility is also considered. Moreover, with the purpose of controlling transaction costs, a limit is placed on the number of assets for selection. To the best of our knowledge, this specific model has not been considered in the literature to date. This model is difficult (NP-Hard), and therefore, only very small instances may be solved in an exact way. This paper proposes a method based on tabu search and multiobjective adaptive memory programming (MOAMP) strategies. With this method it is possible to obtain sets of nondominated solutions in short computational times. To check the performance of our method it is compared with adaptations of the nondominated sorting genetic algorithm (NSGA-II), strength Pareto evolutionary algorithm (SPEA-II) and multiobjective particle swarm optimization (MOPSO). The results of different computational experiments show that our tabu search-MOAMP method performed best. The quality of the sets of solutions that were obtained and the speed of execution mean that our tabu search-MOAMP can be used as a tool for financial assessment and analysis (including online services). This tool, as we can see in this work with some examples, can take into account the social concerns of many clients and their overall risk profile (very conservative, conservative, moderate, or fearless). This approach is also in line with current legal regulations that oblige financial advisors to take the client profile into account to provide greater protection and propose good financial advice. Open Access funding provided thanks to the CRUE-CSIC agreement with Springer Nature. This work was partially supported by FEDER funds and the Spanish Ministry of Economy and Competitiveness (Projects PID2019-104263RB-C44 and PDC2021– 121021-C22), the Regional Government of “Castilla y León”, Spain (Projects BU329U14 and BU071G19), the Regional Government of “Castilla y León” and FEDER funds (Projects BU062U16, COV2000375 and BU056P20). 2023-02-06T11:10:04Z 2023-02-06T11:10:04Z 2022-03 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 0924-669X http://hdl.handle.net/10259/7393 10.1007/s10489-022-03169-0 1573-7497 eng Applied Intelligence. 2022, V. 52, n. 14, p. 15785-15808 https://doi.org/10.1007/s10489-022-03169-0 info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104263RB-C44/ES/MEJORA EN LA TOMA DE DECISIONES EN EL AMBITO DE LA LOGISTICA Y PROBLEMAS RELACIONADOS. ENFOQUE MULTI-OBJETIVO/ info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PDC2021-121021-C22/ES/Sistemas de apoyo a la toma de decisiones eficientes: Planificación de la logística externa e interna y selección de carteras/ info:eu-repo/grantAgreement/Junta de Castilla y León//BU329U14//Diseño de técnicas metaheurísticas para la toma de decisiones problemas con múltiples objetivos. Aplicaciones a problemas relacionados con transporte público y recogida de residuos/ info:eu-repo/grantAgreement/Junta de Castilla y León//BU071G19//Métodos heurísticos para problemas de optimización de recursos sanitarios con varios objetivos/ info:eu-repo/grantAgreement/Junta de Castilla y León//BU062U16//Metaheurísticas e hiperheurísticas para problemas de transporte público con varios criterios. Aplicaciones a problemas logísticos relacionados/ info:eu-repo/grantAgreement/Junta de Castilla y León//COV2000375//Predicción y evolución de casos UCI: Aplicación a la provincia de Burgos/ info:eu-repo/grantAgreement/Junta de Castilla y León//BU056P20//Análisis de problemas de logística sanitaria: Enfoque multi-objetivo y uso de metaheurísticas/ Atribución 4.0 Internacional http://creativecommons.org/licenses/by/4.0/ info:eu-repo/semantics/openAccess application/pdf Springer Nature