Open AccessAN ALTERNATIVE FRAMEWORK FOR SOCIALLY RESPONSIBLE PORTFOLIOS OPTIMIZATION APPLIED TO THE MOROCCAN STOCK EXCHANGE
Author(s) -
Yahya Hanine,
Mohamed Tkiouat,
Younès Lahrichi
Publication year - 2021
Publication title -
international journal of the analytic hierarchy process
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.213
H-Index - 3
ISSN - 1936-6744
DOI - 10.13033/ijahp.v13i1.831
Subject(s) - portfolio , analytic hierarchy process , portfolio optimization , stock exchange , actuarial science , application portfolio management , computer science , fuzzy logic , robustness (evolution) , project portfolio management , economics , financial economics , finance , operations research , artificial intelligence , mathematics , management , biochemistry , chemistry , project management , gene
The purpose of this article is to propose an alternative approach for portfolio optimization combining financial and ethical constraints in one hand, and objective and subjective investor’s preferences in the other hand. This approach intends to support investors in selecting and optimizing financial and social portfolio’s performances. More precisely, we introduce analytic hierarchy process (AHP) to measure the ethical performance (EP) score of each asset considering ethical criteria. For its part, fuzzy multiple criteria decision making (FMCDM) is used to determine the overall financial quality score of assets with respect to key financial criteria i.e., short term return, long term return, and risk. Besides, interactive fuzzy programming approach is applied to support the investor’s decision, considering its subjective preferences. The robustness of our approach is tested through an empirical study involving the case of the Casablanca Stock Exchange (CSE). The results give evidence that the Socially Responsible (SR) Portfolio have performed similar to the conventional one, as no significant differences were found in term of return. However, the SR portfolio allows the investor to achieve his ethical goal, against a slight financial sacrifice.