2026-04-29T20:45:33Zhttps://riubu.ubu.es/oai/requestoai:riubu.ubu.es:10259/98212025-05-12T08:04:45Zcom_10259_5645com_10259_5086com_10259_2604col_10259_9820col_10259_5684
Pacheco Bonrostro, Joaquín
410
600
0000-0002-7462-8680
Cepa Serrano, Lara
02ff3a21-406e-469f-ad76-cab6165188e1
600
Puche Regaliza, Julio César
821
600
0000-0002-7961-3031
Casado Yusta, Silvia
666
600
0000-0002-9663-1557
2024-12-20T12:19:04Z
2024-12-20T12:19:04Z
2021
http://hdl.handle.net/10259/9821
10.71486/8nfm-3w70
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.
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).
application/vnd.openxmlformats-officedocument.wordprocessingml.document
application/zip
text/plain
application/vnd.openxmlformats-officedocument.spreadsheetml.sheet
eng
Universidad de Burgos
http://hdl.handle.net/10259/7393
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: PLANIFICACION DE LA LOGISTICA EXTERNA E INTERNA Y SELECCION 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-NoComercial 4.0 Internacional
http://creativecommons.org/licenses/by-nc/4.0/
info:eu-repo/semantics/openAccess
Portfolio investment
Social responsability
Multiobjective optimization
Tabu search
MOAMP
NSGA-II
SPEA-II
MOPSO
Financial assessment
Investigación operativa
Inversiones éticas
Operations research
Investments-Moral and ethical aspects
Dataset of the paper “Selection of Investment Portfolio with Social Responsibility: A Multi-Objective Model and a Tabu Search Method”. Applied Intelligence, 52, 15785-15808
dataset
info:eu-repo/semantics/acceptedVersion
2021
LICENSE
license.txt
license.txt
text/plain; charset=utf-8
999
https://riubu.ubu.es/bitstream/10259/9821/4/license.txt
b295bcbce42e2caabeb0c623d3860c06
MD5
4
CC-LICENSE
license_rdf
license_rdf
application/rdf+xml; charset=utf-8
914
https://riubu.ubu.es/bitstream/10259/9821/3/license_rdf
24013099e9e6abb1575dc6ce0855efd5
MD5
3
ORIGINAL
readme.docx
readme.docx
application/vnd.openxmlformats-officedocument.wordprocessingml.document
15061
https://riubu.ubu.es/bitstream/10259/9821/1/readme.docx
03eb672e874174d06961892773bb93cd
MD5
1
Pacheco-data_for_paper_selection_of_investment_portfolio_with_social_responsibility-2021.zip
Pacheco-data_for_paper_selection_of_investment_portfolio_with_social_responsibility-2021.zip
application/zip
6055030
https://riubu.ubu.es/bitstream/10259/9821/2/Pacheco-data_for_paper_selection_of_investment_portfolio_with_social_responsibility-2021.zip
8ec7ff568a9e87eb8f42e3d5d15506b4
MD5
2
10259/9821
oai:riubu.ubu.es:10259/9821
2025-05-12 10:04:45.133
Repositorio Institucional de la Universidad de Burgos
bubrep@ubu.es
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