A combined AHP-Delphi approach to assess the social responsibility degree of equity mutual funds

Trabajo presentado al 14th International Symposium on the Analytic Hierarchy Process celebrado en Washington (US) del 29 de junio al 2 de julio de 2014.The aim of this paper is to propose a ranking method for Spanish equity mutual funds based on multiple social responsibility criteria, which could allow individual and institutional investors to make investment decisions based on a set of agreed social responsible values. In order to reach this goal three key questions have been addressed: the identification of the main stakeholders; the definition of an agreed list of socially responsible investment criteria and, the determining of the agreed relative importance given to each criterion in the decision making process. In order to calculate this relative importance of the criteria a participative AHP procedure has been carried out.Peer Reviewe

Developing a green city assessment system using cognitive maps and the Choquet integral

Equitable human well-being and environmental concerns in urban areas have, over the years, become increasingly challenging issues. This trend is related to both the complexity inherent in the multiple factors to be considered when evaluating eco-friendly cities (i.e., green cities) and the way this type of city’s sustainability depends on many evaluation criteria, which hampers all decision-making processes. Using a multiple criteria decision analysis (MCDA) approach, this study sought to develop a multiple-criteria model that facilitates the evaluation of green cities’ sustainability, based on cognitive mapping techniques and the Choquet integral (CI). Taking a constructivist and process-oriented stance, the research included identifying evaluation criteria and their respective interactions using a panel of experts with specialized knowledge in the subject under analysis. The resulting framework and its application were validated both by the panel members and a parliamentary representative of the Portuguese ecology party “Os Verdes” (The Greens), who confirmed that the evaluation system created distinguishes between cities according to how strongly they adhere to “green” principles. The advantages and limitations of the proposed framework are also discussed.info:eu-repo/semantics/acceptedVersio

An out-of-sample framework for TOPSIS-based classifiers with application in bankruptcy prediction

This work was conducted while Prof. Pérez-Gladish was a visitant researcher at the Business School of The University of Edinburgh. She would like to thank the Spanish Ministry of Education Culture and Sport for its financial support within the framework of its International Mobility Program for Senior Researchers “Salvador de Madariaga” (Reference PRX16-0169).Since the publication of the seminal paper by Hwang and Yoon (1981) proposing Technique for Order Performance by the Similarity to Ideal Solution (TOPSIS), a substantial number of papers used this technique in a variety of applications requiring a ranking of alternatives. Very few papers use TOPSIS as a classifier (e.g. Wu and Olson, 2006; Abd-El Fattah et al., 2013) and report a good performance as in-sample classifiers. However, in practice, its use in predicting discrete variables such as risk class belonging is limited by the lack of an out-of-sample evaluation framework. In this paper, we fill this gap by proposing an integrated in-sample and out-of-sample framework for TOPSIS classifiers and test its performance on a UK dataset of bankrupt and non-bankrupt firms listed on the London Stock Exchange (LSE) during 2010–2014. Empirical results show an outstanding predictive performance both in-sample and out-of-sample and thus opens a new avenue for research and applications in risk modelling and analysis using TOPSIS as a non-parametric classifier and makes it a real contender in industry applications in banking and investment. In addition, the proposed framework is robust to a variety of implementation decisions.PostprintPeer reviewe

Measuring the territorial effort in research, development, and innovation from a multiple criteria approach: application to the Spanish regions case

Research, development and innovation are fundamental for the socioeconomic growth of the territories. Consequently, many governments set spending targets for research and development (R&D), for example the EU has a goal of reaching a spending target of 3% of the Union’s GDP. However, recent literature emphasizes that spending on R&D may not be the most appropriate indicator to measure the innovative efforts of a particular territory. Multidimensional indicators are required to measure the different elements that reflect the capacity of each scientific and innovative system to transmit the scientific results into productivity and competitiveness advancements. In this context, the objective of this paper is to propose a method that produces a synthetic indicator to rank various territories as an aid to understanding the multidimensional complexities of the innovation process. To reach this objective, the methodological approach proposed is a modified version of the unweighted TOPSIS (UW-TOPSIS) method. In this paper, this multiple criteria decision-making method is used to rank the 17 Spanish autonomous communities in terms of their innovation efforts. The obtained results show the capacity of the proposed technique to evaluate the relative situation of each community using a multidimensional approach. However, it also allows us to provide policy guidance to political decision-makers on socioeconomic aspects that can be improved in each regio

La protección medioambiental como criterio en la selección de inversiones socialmente responsables: una aproximación multicriterio

[EN] A greater environmental and ethical awareness of companies and organizations is also ap-plied to portfolio selection. This note aims to put forward a multicriteria model of Goal Programming (GP) to design efficient portfolios considering classic financial criteria and environmental criteria[ES] La mayor concienciación medioambiental y ética de empresas y organizaciones se traslada también a la selección de carteras. En esta nota se propone un modelo multicriterio de programación por me-tas para la selección de carteras incorporando a los criterios clásicos financieros, criterios mediambientalesGarcía-Bernabeu, A.; Pla-Santamaria, D.; Bravo, M.; Pérez-Gladish, B. (2015). The Environmental Protection as a selection criterion in Socially Responsible Investments: A multicriteria approach. Economía Agraria y Recursos Naturales - Agricultural and Resource Economics. 15(1):101-112. doi:10.7201/earn.2015.01.06SWORD10111215

Grading investment diversification options in presence of non-historical financial information

Modern portfolio theory deals with the problem of selecting a portfolio of financial assets such that the expected return is maximized for a given level of risk. The forecast of the expected individual assets’ returns and risk is usually based on their historical returns. In this work, we consider a situation in which the investor has non-historical additional information that is used for the forecast of the expected returns. This implies that there is no obvious statistical risk measure any more, and it poses the problem of selecting an adequate set of diversification constraints to mitigate the risk of the selected portfolio without losing the value of the non-statistical information owned by the investor. To address this problem, we introduce an indicator, the historical reduction index, measuring the expected reduction of the expected return due to a given set of diversification constraints. We show that it can be used to grade the impact of each possible set of diversification constraints. Hence, the investor can choose from this gradation, the set better fitting his subjective risk-aversion level

Selecting socially responsible portfolios: A fuzzy multicriteria approach

[EN] We propose a multi-objective approach for portfolio selection, which allows investors to consider not only return and downside risk criteria but also to include environmental, social and governance (ESG) scores in the investment decision-making process. Owing to the uncertain environment of portfolio selection, the return and ESG score of each asset are considered as independent L-R power fuzzy variables. To make the model more realistic, we take budget, floor ceiling and cardinality constraints into account. In order to select the optimal portfolio along the efficient frontier, we apply the Sortino ratio in a credibilistic environment. The subsequent empirical application uses a data set from Bloomberg's ESG Data in combination with US Dow Jones Industrial Average data. 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A Critical Review of Sustainable Business Indices and their Impact. Journal of Business Ethics, 76(3), 243-252. doi:10.1007/s10551-007-9590-2Jankalová, M., & Jankal, R. (2017). The assessment of corporate social responsibility: approaches analysis. Entrepreneurship and Sustainability Issues, 4(4), 441-459. doi:10.9770/jesi.2017.4.4(4)Smaliukienė, R., & Monni, S. (2019). A step-by-step approach to social marketing in energy transition. Insights into Regional Development, 1(1), 19-32. doi:10.9770/ird.2019.1.1(2)Anagnostopoulos, T., Skouloudis, A., Khan, N., & Evangelinos, K. (2018). Incorporating Sustainability Considerations into Lending Decisions and the Management of Bad Loans: Evidence from Greece. Sustainability, 10(12), 4728. doi:10.3390/su10124728Charlo, M., Moya, I., & Muñoz, A. (2017). Financial Performance of Socially Responsible Firms: The Short- and Long-Term Impact. Sustainability, 9(9), 1622. doi:10.3390/su9091622De Colle, S., & York, J. G. (2008). Why Wine is not Glue? The Unresolved Problem of Negative Screening in Socially Responsible Investing. Journal of Business Ethics, 85(S1), 83-95. doi:10.1007/s10551-008-9949-zDerwall, J., & Koedijk, K. (2009). Socially Responsible Fixed-Income Funds. Journal of Business Finance & Accounting, 36(1-2), 210-229. doi:10.1111/j.1468-5957.2008.02119.xWu, J., Lodorfos, G., Dean, A., & Gioulmpaxiotis, G. (2015). The Market Performance of Socially Responsible Investment during Periods of the Economic Cycle - Illustrated Using the Case of FTSE. Managerial and Decision Economics, 38(2), 238-251. doi:10.1002/mde.2772Chang, C. E., & Doug Witte, H. (2010). Performance Evaluation of U.S. Socially Responsible Mutual Funds: Revisiting Doing Good and Doing Well. American Journal of Business, 25(1), 9-24. doi:10.1108/19355181201000001Cortez, M. C., Silva, F., & Areal, N. (2008). The Performance of European Socially Responsible Funds. Journal of Business Ethics, 87(4), 573-588. doi:10.1007/s10551-008-9959-xInvesting in Socially Responsible Mutual Fundshttps://repository.upenn.edu/cgi/viewcontent.cgi?article=1444&context=fnce_papersJones, S., van der Laan, S., Frost, G., & Loftus, J. (2007). The Investment Performance of Socially Responsible Investment Funds in Australia. Journal of Business Ethics, 80(2), 181-203. doi:10.1007/s10551-007-9412-6Renneboog, L., Ter Horst, J., & Zhang, C. (2008). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32(9), 1723-1742. doi:10.1016/j.jbankfin.2007.12.039Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance, 29(7), 1751-1767. doi:10.1016/j.jbankfin.2004.06.035Brzeszczyński, J., & McIntosh, G. (2013). Performance of Portfolios Composed of British SRI Stocks. Journal of Business Ethics, 120(3), 335-362. doi:10.1007/s10551-012-1541-xGoldreyer, E. F., & Diltz, J. D. (1999). The performance of socially responsible mutual funds: incorporating sociopolitical information in portfolio selection. Managerial Finance, 25(1), 23-36. doi:10.1108/03074359910765830Hamilton, S., Jo, H., & Statman, M. (1993). Doing Well While Doing Good? The Investment Performance of Socially Responsible Mutual Funds. Financial Analysts Journal, 49(6), 62-66. doi:10.2469/faj.v49.n6.62Revelli, C., & Viviani, J.-L. (2014). Financial performance of socially responsible investing (SRI): what have we learned? A meta-analysis. Business Ethics: A European Review, 24(2), 158-185. doi:10.1111/beer.12076McWilliams, A., & Siegel, D. (2001). Corporate Social Responsibility: a Theory of the Firm Perspective. Academy of Management Review, 26(1), 117-127. doi:10.5465/amr.2001.4011987El Ghoul, S., Guedhami, O., Kwok, C. C. Y., & Mishra, D. R. (2011). 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Fuzzy segmentation of postmodern tourists.

In postmodern tourism, the experiences of each tourist could not be summarized only through a unique perspective but multiple and disjointed perspectives are necessary. The aim of this paper is to create a nexus between postmodern tourist and fuzzy clustering, and to propose a suitable clustering procedure to segment postmodern tourists. From a methodological perspective, the main contribution of this paper is related to the use of the fuzzy theory from the beginning to the end of the clustering process. Furthermore, the suggested procedure is capable of analysing the uncertainty and vagueness that characterise the experiences and perceptions of postmodern consumers. From a managerial perspective, fuzzy clustering methods offer to practitioners a more realistic multidimensional description of the market not forcing consumers to belong to one cluster. Moreover, the results are easy and comprehensible to read since they are similar to those obtained with more traditional clustering techniques