SOCIALLY RESPONSIBLE INVESTMENT-BASED PORTFOLIO SELECTION PROBLEMS WITH FUZZINESS

摘要

This paper considers several portfolio selection problems considering Socially Responsible Investment (SRI), which is the most important measure to sustain continuous developments of companies by performing environment-friendliness and suitable social activity, and which is also essential for avoiding the latent risk. Corporate Social Responsibility (CSR) is presented as linguistic and ambiguous information including several types of subjectivities, and so effects of SRI activities for the investment based on the CSR are formulated as fuzzy numbers. Furthermore, several types of portfolio models, considering direct evaluation approach of SRI, fuzzy variance including SRI, and biased future return derived from random simulation, are proposed. In order to evaluate these portfolio performances, a practical example derived from the current market is provided.