2026-09-13T21:36:55Zhttps://riubu.ubu.es/oai/requestoai:riubu.ubu.es:10259/73932024-12-20T12:22:56Zcom_10259_5645com_10259_5086com_10259_2604col_10259_5646
Repositorio Institucional de la Universidad de Burgos
author
Pacheco Bonrostro, Joaquín
author
Cepa Serrano, Lara
author
Puche Regaliza, Julio César
author
Casado Yusta, Silvia
2023-02-06T11:10:04Z
2023-02-06T11:10:04Z
2022-03
0924-669X
http://hdl.handle.net/10259/7393
10.1007/s10489-022-03169-0
1573-7497
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.
eng
Atribución 4.0 Internacional
Portfolio investment
Social responsability
Multiobjective optimization
Tabu search
MOAMP
NSGA-II
SPEA-II
MOPSO
Financial assessment
Selection of investment portfolios with social responsibility: a multiobjective model and a Tabu search method
info:eu-repo/semantics/article
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