1 Introduction Various initiatives have been launched to assess the SEE dimensions in investment decisions [1-4]. The majority of the measures of responsible and irresponsible corporate behaviour presented in the literature are constructed from the databases of independent agencies (Vigeo, EIRIS, KLD...) that to a large extent rely on publicly observable events (e.g. newspaper articles, Non-Governmental Organization reports, regulatory reports or company rankings) together with studies based on questionnaires to and interviews with stakeholder groups. The aim of this research is to provide a framework for constructing portfolios containing conventional and SRI assets, based on the application of the HPM [5] for the monetary valuation of socially responsible characteristics of financial assets [6]. We use multi-objective programming as a suitable mathematical technique for solving the portfolio selection problem, including several criteria in decision-making processes [7-10] in which the investment opportunities are described in terms of a set of attributes, with part of this set intended to capture and express the effects on society [4, 8, 11].
展开▼
