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Chinese Corporate Social Responsibility by Multiple Objective Portfolio Selection and Genetic Algorithms
Author(s) -
Qi Yue,
Wu Fen,
Peng Xiaofeng,
Steuer Ralph E.
Publication year - 2013
Publication title -
journal of multi‐criteria decision analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.462
H-Index - 47
eISSN - 1099-1360
pISSN - 1057-9214
DOI - 10.1002/mcda.1489
Subject(s) - portfolio , corporate social responsibility , extension (predicate logic) , selection (genetic algorithm) , agency (philosophy) , genetic algorithm , sample (material) , computer science , algorithm , business , economics , artificial intelligence , financial economics , machine learning , sociology , political science , social science , chemistry , public relations , chromatography , programming language
In this paper, we study corporate social responsibility (CSR) in China through the prism of investments. We work with large stocks and assess their CSR performance from agency CSR data. We formulate Chinese CSR by a multiple objective extension of a traditional portfolio selection model and analytically solve the extension. We also solve the extension by a genetic algorithm and directly evaluate the algorithm's performance against the analytical solution. The multiple objective formulation is tested by randomly choosing nondominated portfolios with out‐of‐sample data to identify nondominated portfolios that outperform the 1/ n portfolio (equally weighted portfolio). Copyright © 2013 John Wiley & Sons, Ltd.