RT dataset
T1 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
A1 Pacheco Bonrostro, Joaquín
A1 Cepa Serrano, 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 Investigación operativa
K1 Operations research
K1 Inversiones éticas
K1 Investments-Moral and ethical aspects
AB 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.
PB Universidad de Burgos
YR 2021
FD 2021
LK http://hdl.handle.net/10259/9821
UL http://hdl.handle.net/10259/9821
LA eng
NO 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 23-feb-2025