A game-theoretical integrated approach for sustainable portfolio selection: an application on bist participation sustainability index stocks

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dc.contributor.authorGöktaş, Furkan
dc.date.accessioned2024-09-29T16:31:01Z
dc.date.available2024-09-29T16:31:01Z
dc.date.issued2024
dc.departmentKarabük Üniversitesien_US
dc.description.abstractSustainable 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.en_US
dc.identifier.doi10.34248/bsengineering.1403554
dc.identifier.endpage464en_US
dc.identifier.issue3en_US
dc.identifier.startpage457en_US
dc.identifier.trdizinid1235727en_US
dc.identifier.urihttps://doi.org/10.34248/bsengineering.1403554
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1235727
dc.identifier.urihttps://hdl.handle.net/20.500.14619/11078
dc.identifier.volume7en_US
dc.indekslendigikaynakTR-Dizinen_US
dc.institutionauthorGöktaş, Furkan
dc.language.isoenen_US
dc.relation.ispartofBlack Sea Journal of Engineering and Scienceen_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.titleA game-theoretical integrated approach for sustainable portfolio selection: an application on bist participation sustainability index stocksen_US
dc.typeArticleen_US

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