A game-theoretical integrated approach for sustainable portfolio selection: an application on bist participation sustainability index stocks
Küçük Resim Yok
Tarih
2024
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Sustainable investment is a hot topic of portfolio selection. This study aims to examine sustainable portfolio selection for conservative investors using the ESG criteria. Thus, we propose a two-stage integrated approach based on two-player zero-sum games. In the first stage, we use a fuzzy multi-criteria decision making (MCDM) approach to calculate the sustainability scores of the stocks based on expert knowledge. In the second stage, we form and solve a linear optimization problem by only adding a sustainability constraint to Young’s minimax portfolio selection model. We illustrate the integrated approach using the weekly simple returns of eight stocks. We also compare our results with the results of Young’s minimax portfolio selection model. We find that sustainable investment does not necessarily lead to performance loss. Furthermore, it may increase performance in some cases. To the best of our knowledge, this is the first paper on sustainable portfolio selection that depends only on two-player zero-sum games, including the stage of finding sustainability scores.
Açıklama
Anahtar Kelimeler
Kaynak
Black Sea Journal of Engineering and Science
WoS Q Değeri
Scopus Q Değeri
Cilt
7
Sayı
3
