RT info:eu-repo/semantics/article
T1 Selection of investment portfolios with social responsibility: a multiobjective model and a Tabu search method
A1 Pacheco Bonrostro, Joaquín
A1 Cepa, Lara
A1 Puche Regaliza, Julio César
A1 Casado Yusta, Silvia
K1 Portfolio investment
K1 Social responsability
K1 Multiobjective optimization
K1 Tabu search
K1 MOAMP
K1 NSGA-II
K1 SPEA-II
K1 MOPSO
K1 Financial assessment
K1 Economía
K1 Economy
AB In this study, a model for the selection of investment portfolios is proposed with three objectives. In addition to the traditionalobjectives 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 ourknowledge, 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 multiobjectiveadaptive memory programming (MOAMP) strategies. With this method it is possible to obtain sets of nondominated solutions inshort computational times. To check the performance of our method it is compared with adaptations of the nondominated sortinggenetic 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. Thequality of the sets of solutions that were obtained and the speed of execution mean that our tabu search-MOAMP can be used as atool 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 intoaccount to provide greater protection and propose good financial advice.
PB Springer Nature
SN 0924-669X
YR 2022
FD 2022-03
LK http://hdl.handle.net/10259/7393
UL http://hdl.handle.net/10259/7393
LA eng
NO 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).
DS Repositorio Institucional de la Universidad de Burgos
RD 02-may-2024