RT Article
T1 Selection of Socially Responsible Portfolios Using Hedonic Prices
JF Journal of business ethics
VO 115
IS 3
SP 515
OP 529
A1 Bilbao Terol, Amelia
A1 Arenas-Parra, Mar
A1 Cañal-Fernández, Verónica
A1 Bilbao, Cecilia
A2 Arenas-Parra, Mar
A2 Cañal-Fernández, Verónica
A2 Bilbao, Cecilia
LA English
YR 2013
UL https://ixtheo.de/Record/1785648101
AB This paper presents a novel framework for selecting socially responsible investment (SRI) portfolios. The Hedonic Price Method (HPM) is applied to obtain an evaluation of SRI criteria that is integrated into a multi-objective mathematical programming model. The HPM breaks away from the traditional view that goods are the direct object of utility; on the contrary, it assumes that utility is derived from the properties or characteristics of the goods themselves. As far as the investment decision is concerned, we assume that socially responsible investmentmutual funds (SRI funds) constitute heterogeneous goods. Our approach allows us to obtain a portfolio, the financial performance of which is similar to that which the investor would have reached if he or she had not taken into account social, ethical, and environmental considerations when making his or her investment decisions. This is achieved by designing a two-stage multi-objective mathematical programming procedure. In the first stage, we achieve the maximum level of financial satisfaction that the investor can receive. In the second stage, the portfolio with the best financial–social behavior is built. For the purpose of this second stage, the first stage portfolio is used as a benchmark for the financial performance of a socially responsible portfolio. To apply this methodology, we use portfolios composed of socially responsible and conventional mutual funds domiciled in Spain.
K1 Certainty equivalent
K1 Conditional value-at-risk
K1 Variance
K1 Hedonic prices
K1 Multi-objective programming
K1 mutual funds
K1 Portfolio Selection
K1 Socially Responsible Investment
DO 10.1007/s10551-012-1411-6