Utz, Sebastian and Wimmer, Maximilian and Hirschberger, Markus and Steuer, Ralph E. (2014) Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 234 (2). pp. 491-498. ISSN 0377-2217, 1872-6860
Full text not available from this repository. (Request a copy)Abstract
We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface. Until recently, it had not been possible to compute such a surface. But by using a new method that is able to generate the nondominated surfaces of tri-criterion portfolio selection problems, we are able to compute via inverse optimization the implied risk tolerances of given funds that pursue an additional objective beyond risk and return. In applying this capability to a broad sample of conventional and socially responsible (SR) mutual funds, we find that there appears to be no significant evidence that social responsibility issues, after the screening stage, are further taken into account in the asset allocation process, which is a result that is likely to be different from what many SR investors would expect. (C) 2013 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | STANDARD DEVIATION ANALYSIS; INVESTOR BEHAVIOR; UTILITY-FUNCTIONS; SELECTION; RATIONALE; INVESTMENTS; PERFORMANCE; OBJECTIVES; PREFERENCE; Socially responsible investing; Inverse optimization; Portfolio selection; Multiple criteria optimization; Nondominated surfaces; Multiple criteria decision making |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 14 Nov 2019 09:44 |
| Last Modified: | 14 Nov 2019 09:44 |
| URI: | https://pred.uni-regensburg.de/id/eprint/10308 |
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