Optimization portfolio selection model with financial and ethical considerations

Subject Areas : Financial engineering

elham fallahi ganzagh ¹ , Farimah Mokhatab Rafiei ²

1 - Department of Industry and systems engineering, industry engineering college, Tarbiat Modares University, Tehran, Iran
2 - Department of Systems and Productivity Management, Industry engineering college, Tarbiat Modares University, Tehran, Iran

Received: 2020-05-04 Accepted : 2020-09-06 Published : 2021-03-21

Keywords: AHP, Fuzzy MCDM, Stock Portfolio Optimization, ethical investment,

Abstract :

The moral investment movement that began in the 1960s in the United States has recently led to a massive move around the world. Growing cases of corporate scams and scandals have pushed investors to consider the quality of corporate governance and the ethics of their behavior. Also, investors are becoming aware of the desirability of moral aberration of assets.The growing influence of institutional investors has strengthened this awareness. Hence, in order to research in this field, there should be an understanding of the progress made in constructing models that are consistent with financially ethical considerations. We use multiple methodologies to achieve this goal. To obtain the ethical performance scores of each asset, based on the investor's preferences, a hierarchical process approach has been used. A multi-faceted decision-making method is used to obtain the rating of each asset based on the investor's rate on the financial benchmark. Model of portfolio optimization is available to obtain diverse, reliable, and well-matched portfolio portfolios. The purpose of this model is to maximize the financial purpose as the primary purpose and maximize the ethical goal adopted by the investor.