Selección de carteras con criterios de responsabilidad social

• Autores: Clara Calvo López
• Localización: Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA, ISSN-e 1575-605X, Vol. 14, Nº. 2, 2013, págs. 147-158
• Idioma: español
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    Presentamos un modelo fuzzy para el problema de selección de carteras que, aparte de restricciones de diversificación de variables semicontinuas y de cardinalidad, incorpora un objetivo no financiero que consiste en maximizar la responsabilidad social. Este objetivo se trata como un objetivo secundario respecto de los objetivos principales, es decir, maximizar la rentabilidad y minimizar el riesgo.

    Esto significa que el inversor fija ciertos rangos de rentabilidades y riesgos aceptables y el modelo proporciona dentro de estos rangos carteras no necesariamente e cientes con la mejor responsabilidad social teniendo en cuenta lo lejos que se encuentran de la frontera eficiente. Por tanto, el inversor conoce siempre el coste financiero que está asumiendo a causa del criterio de responsabilidad social. El método propuesto se discute mediante un ejemplo de selección de una cartera de fondos.

  • English

    We present a fuzzy model for the portfolio selection problem that besides cardinality and semicontinuous variable diversi cation constraints, incorporates a non- nancial goal consisting of maximizing social responsibility. This goal is treated as a secondary goal with regard to the main nancial goals, i.e maximizing the expected return and minimizing the risk. This means that the investor xes certain ranges of acceptable returns and risks and the model provides non-necessarily ecient portfolios within these ranges with best social responsibility taking into account how far they are from the ecient frontier. Hence the investor always knows the nancial cost he or she is assuming due to the social responsibility criteria. The proposed method is discussed my means of an example about the selection of a portfolio of mutual funds.

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