Corporate social responsibility in portfolio selection: A "goal games" against nature approach

Trenado Torrejón, Manuel and Romero, María and Cuadrado Ebrero, Maria Luisa and Romero Lopez, Carlos (2014). Corporate social responsibility in portfolio selection: A "goal games" against nature approach. "Computers & Industrial Engineering", v. 75 ; pp. 260-265. ISSN 0360-8352. https://doi.org/10.1016/j.cie.2014.07.005.

Description

Title: Corporate social responsibility in portfolio selection: A "goal games" against nature approach
Author/s:
  • Trenado Torrejón, Manuel
  • Romero, María
  • Cuadrado Ebrero, Maria Luisa
  • Romero Lopez, Carlos
Item Type: Article
Título de Revista/Publicación: Computers & Industrial Engineering
Date: September 2014
ISSN: 0360-8352
Volume: 75
Subjects:
Freetext Keywords: Games-against nature; Goal programming; Multiple criteria decision making; Portfolio selection; Satisficing; Sustainability
Faculty: E.T.S.I. Telecomunicación (UPM)
Department: Matemática Aplicada a las Tecnologías de la Información y las Comunicaciones
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

Nowadays, there is an uprising social pressure on big companies to incorporate into their decision-making process elements of the so-called social responsibility. Among the many implications of this fact, one relevant one is the need to include this new element in classic portfolio selection models. This paper meets this challenge by formulating a model that combines goal programming with "goal games" against nature in a scenario where the social responsibility is defined through the introduction of a battery of sustainability indicators amalgamated into a synthetic index. In this way, we have obtained an efficient model that only implies solving a small number of linear programming problems. The proposed approach has been tested and illustrated by using a case study related to the selection of securities in international markets.

Funding Projects

TypeCodeAcronymLeaderTitle
Government of SpainAGL2011-25825UnspecifiedUnspecifiedUnspecified

More information

Item ID: 36183
DC Identifier: http://oa.upm.es/36183/
OAI Identifier: oai:oa.upm.es:36183
DOI: 10.1016/j.cie.2014.07.005
Official URL: http://www.sciencedirect.com/science/article/pii/S0360835214002137
Deposited by: Memoria Investigacion
Deposited on: 30 Jun 2015 18:39
Last Modified: 11 Jun 2019 08:05
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