Published May 19, 2021
Yahya Hanine Mohamed Tkiouat Younes Lahrichi


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.


Download data is not yet available.
Abstract 460 | PDF Downloads 17



Portfolio optimization, AHP, Fuzzy set theory, SRI, MCDM

Allen, N. E., Moloney, N., Wong, C., & Canning, C. G. (2015). Rigidity but Not Tremor Is Associated with Pain in People with Parkinson’s Disease. Physiotherapy, 101, e56.
Asutay, M., & Hendranastiti, N. D. (2015). Comparison of Portfolio Selection and Performance: Shari’ah-Compliant and Socially Responsible Investment Portfolios. Indonesian Capital Market Review, 7(1).
Auer, B. R. (2016). Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value? Journal of Business Ethics, 135(2), 381–397.
Auer, B. R., & Schuhmacher, F. (2016). Do Socially (Ir)Responsible Investments Pay? New Evidence from International ESG Data. The Quarterly Review of Economics and Finance, 59, 51–62.
Azmi, W., Mohamad, S., & Shah, M. E. (2018). Nonfinancial Traits and Financial Smartness: International Evidence from Shariah-Compliant and Socially Responsible Funds. Journal of International Financial Markets, Institutions and Money, 56, 201–217.
Ballestero, E., Bravo, M., Pérez-Gladish, B., Arenas-Parra, M., & Plà-Santamaria, D. (2012). Socially Responsible Investment: A Multicriteria Approach to Portfolio Selection Combining Ethical and Financial Objectives. European Journal of Operational Research, 216(2), 487–494.
Batchvarova, E., & Gryning, S. E. (2003). Use of Richardson number methods in regional models to calculate the mixed-layer height. NATO Advanced Workshop on Air Pollution Processes in Regional Scale, 13-15 June 2003, Kallithea. Halkidiki, Greece, Pp 21-29.
Beljaars, A. C. M., & Holtslag, A. A. M. (1990). A software library for the calculation of surface fluxes over land and sea. Environ Softw, 5(2), 60–68.
Beljaars, A. C. M., & Holtslag, A. A. M. (1991). Flux parameterization over land surfaces for atmospheric models. J Appl Meteorol, 30(3), 327–341.
Bilbao-Terol, A., Arenas-Parra, M., & Cañal-Fernández, V. (2012a). Selection of Socially Responsible Portfolios Using Goal Programming and Fuzzy Technology. Information Sciences, 189, 110–125.
Bilbao-Terol, A., Arenas-Parra, M., & Cañal-Fernández, V. (2012b). A Fuzzy Multi-Objective Approach for Sustainable Investments. Expert Systems with Applications, 39(12), 10904–10915.
Bilbao-Terol, A., Arenas-Parra, M., & Cañal-Fernández, V. (2016). A Model Based on Copula Theory for Sustainable and Social Responsible Investments. Revista de Contabilidad, 19(1), 55–76.
Bilbao-Terol, A., Arenas-Parra, M., Cañal-Fernández, V., & Antomil-Ibias, J. (2014). Using TOPSIS for Assessing the Sustainability of Government Bond Funds. Omega, 49, 1–17.
Bilbao-Terol, A., Arenas-Parra, M., Cañal-Fernández, V., & Bilbao-Terol, C. (2013). Selection of Socially Responsible Portfolios Using Hedonic Prices. Journal of Business Ethics, 115(3), 515–529.
Bilbao-Terol, A., Arenas-Parra, M., Cañal-Fernández, V., & Bilbao-Terol, C. (2016). Multi-Criteria Decision Making for Choosing Socially Responsible Investment within a Behavioral Portfolio Theory Framework: A New Way of Investing into a Crisis Environment. Annals of Operations Research, 247(2), 549–580.
Bilbao-Terol, A., Arenas-Parra, M., Cañal-Fernández, V., & Jiménez, M. (2016). A Sequential Goal Programming Model with Fuzzy Hierarchies to Sustainable and Responsible Portfolio Selection Problem. Journal of the Operational Research Society, 67(10), 1259–1273.
Bilbao-Terol, A., Arenas-Parra, M., Cañal-Fernández, V., & Obam-Eyang, P. N. (2018). Multi-Criteria Analysis of the GRI Sustainability Reports: An Application to Socially Responsible Investment. Journal of the Operational Research Society, 69(10), 1576–1598.
Brzeszczy?ski, J., & McIntosh, G. (2014). Performance of Portfolios Composed of British SRI Stocks. Journal of Business Ethics, 120(3), 335–362.
Burchi, A. (2019). The Risk in Socially Responsible Investing: The Other Side of the Coin. The Journal of Risk Finance, 20(1), 14–38.
Cabrerizo, F. J., Pérez, I. J., & Herrera-Viedma, E. (2010). Managing the consensus in group decision making in an unbalanced fuzzy linguistic context with incomplete information. Knowledge-Based Systems, 23(2), 169–181.
Calvo, C., Ivorra, C., & Liern, V. (2015). Finding Socially Responsible Portfolios Close to Conventional Ones. International Review of Financial Analysis, 40, 52–63.
Calvo, C., Ivorra, C., & Liern, V. (2016). Fuzzy Portfolio Selection with Non-Financial Goals: Exploring the Efficient Frontier. Annals of Operations Research, 245(1–2), 31–46.
Capelle-Blancard, G., & Monjon, S. (2014). The Performance of Socially Responsible Funds: Does the Screening Process Matter?: The Performance of Socially Responsible Funds. European Financial Management, 20(3), 494–520.
Charfeddine, L., Najah, A., & Teulon, F. (2016). Socially Responsible Investing and Islamic Funds: New Perspectives for Portfolio Allocation. Research in International Business and Finance, 36, 351–361.
Chen, E. T., & Nainggolan, Y. A. (2018). Distance Bias of Socially Responsible Investment. Social Responsibility Journal, 14(1), 96–110.
Cortez, M. C., Silva, F., & Areal, N. (2009). The Performance of European Socially Responsible Funds. Journal of Business Ethics, 87(4), 573–588.
da Silva, S. E. (2017). Socially Responsible Investment Funds and Conventional Funds:are There Performance Differences? Revista Evidenciação Contábil & Finanças, 5(3), 4–21.
Das, P. K., & Uma Rao, S. P. (2013). Performance Evaluation of Socially Responsible Mutual Funds Using Style Analysis. Social Responsibility Journal, 9(1), 109–123.
De la Torre-Torres, O., Galeana-Figueroa, E., & Álvarez-García, J. (2018). Efficiency of the Public Pensions Funds on the Socially Responsible Equities of Mexico. Sustainability, 11(1), 178.
Derwall, J., & Koedijk, K. (2009). Socially Responsible Fixed-Income Funds. Journal of Business Finance & Accounting, 36(1–2), 210–229.
Dorfleitner, G., & Utz, S. (2012). Safety First Portfolio Choice Based on Financial and Sustainability Returns. European Journal of Operational Research, 221(1), 155–164.
Drut, B. (2010). Sovereign Bonds and Socially Responsible Investment. Journal of Business Ethics, 92(S1), 131–145.
Eiris, V. (2017). Vigeo Eiris désigne les 15 «Top Performers RSE 2017» au Maroc. In Vigeo Eiris.
EuroSIF. (2018). SRI Study 2016 -.
Garcia-Bernabeu, A., Pla-Santamaria, D., Bravo, M., & Perez-Gladish, B. (2015). La proteccion medioambiental como criterio en la seleccion de inversiones socialmente responsables: Una aproximacion multicriterio. Economia Agraria y Recursos Naturales, 15(1), 101–112.
García-Crespo, Á., López-Cuadrado, J. L., González-Carrasco, I., Colomo-Palacios, R., & Ruiz-Mezcua, B. (2012). SINVLIO: Using semantics and fuzzy logic to provide individual investment portfolio recommendations. Knowledge-Based Systems, 27, 103–118.
García-Melón, M., Pérez-Gladish, B., Gómez-Navarro, T., & Mendez-Rodriguez, P. (2016a). Assessing Mutual Funds’ Corporate Social Responsibility: A Multistakeholder-AHP Based Methodology. Annals of Operations Research, 244(2), 475–503.
García-Melón, M., Pérez-Gladish, B., Gómez-Navarro, T., & Mendez-Rodriguez, P. (2016b). Assessing Mutual Funds’ Corporate Social Responsibility: A Multistakeholder-AHP Based Methodology. Annals of Operations Research, 244(2), 475–503.
Garratt, J. R. (1994). The atmospheric boundary layer. Cambridge University Press, Cambridge, UK.
Gasser, S. M., Rammerstorfer, M., & Weinmayer, K. (2017). Markowitz Revisited: Social Portfolio Engineering. European Journal of Operational Research, 258(3), 1181–1190.
González Fernández, M., & González Velasco, C. (2013). ¿Difiere la rentabilidad y el riesgo en los fondos de inversión no convencionales? Cuadernos de Economía y Dirección de la Empresa, 16(3), 194–204.
González, J. M. C., Ruiz, F., Paz, M.-R., & Blanca, P. G. (2014). Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market. INFOR: Information Systems and Operational Research, 52(3), 126–137.
Gupta, P., Mehlawat, M. K., Inuiguchi, M., & Chandra, S. (2014). Fuzzy Portfolio Optimization: Advances in Hybrid Multi-Criteria Methodologies. Springer.
Gupta, P., Mehlawat, M. K., & Saxena, A. (2013). Hybrid Optimization Models of Portfolio Selection Involving Financial and Ethical Considerations. Knowledge-Based Systems, 37, 318–337.
Hallerbach, W. (2004). A Framework for Managing a Portfolio of Socially Responsible Investments. European Journal of Operational Research, 153(2), 517–529.
Hartz Pinto, D., Funcia Lemme, C., & Pereira Câmara Leal, R. (2014). Socially Responsible Stock Funds in Brazil. International Journal of Managerial Finance, 10(4), 432–441.
Hasuike, T. (2012). Socially Responsible Investment-Based Portfolio Selection Problems with Fuzziness. International Journal of Innovative Computing Information and Control, 8, 5763–5774.
Ibikunle, G., & Steffen, T. (2017). European Green Mutual Fund Performance: A Comparative Analysis with Their Conventional and Black Peers. Journal of Business Ethics, 145(2), 337–355.
Ielasi, F., Rossolini, M., & Limberti, S. (2018). Sustainability-Themed Mutual Funds: An Empirical Examination of Risk and Performance. The Journal of Risk Finance, 19(3), 247–261.
Jeong, S.-O., Hoss, A., Park, C., Kang, K.-H., & Ryu, Y. (2013). Portfolio Selection for Socially Responsible Investment via Nonparametric Frontier Models. Communications for Statistical Applications and Methods, 20(2), 115–127.
Jin, J., & Han, L. (2018). Assessment of Chinese Green Funds: Performance and Industry Allocation. Journal of Cleaner Production, 171, 1084–1093.
Kaimal, J. C. (1979). Sonic anemometer measurement of atmospheric turbulence. Proceedings of the Dynamic Flow Conference, Skovlunde. DISA Electronic A/S, Pp 551–565.
Konno, H., & Yamazaki, H. (1991). Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market. Management Science, 37(5), 519–531.
Landi, G., & Sciarelli, M. (2019). Towards a More Ethical Market: The Impact of ESG Rating on Corporate Financial Performance. Social Responsibility Journal, 15(1), 11–27.
Lee, H.-S. (2005). A Fuzzy Multi-Criteria Decision Making Model for the Selection of the Distribution Center. In D. Hutchison, T. Kanade, J. Kittler, J. M. Kleinberg, F. Mattern, J. C. Mitchell, M. Naor, O. Nierstrasz, C. Pandu Rangan, B. Steffen, M. Sudan, D. Terzopoulos, D. Tygar, M. Y. Vardi, G. Weikum, L. Wang, K. Chen, & Y. S. Ong (Eds.), Advances in Natural Computation (Vol. 3612, pp. 1290–1299). Springer Berlin Heidelberg.
Li, R. (1999). Fuzzy Method in Group Decision Making. COMPUTERS & MATHEMATICS WITH APPLICATIONS, 38, 91–101.
Lobe, S., & Walkshäusl, C. (2016). Vice versus Virtue Investing around the World. Review of Managerial Science, 10(2), 303–344.
Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77.
Marusic, I., Mathis, R., & Hutchins, N. (2011). A wall-shear stress predictive model. Journal of Physics Conference Series—Proceedings of the 13th European Turbulence Conference, Warsaw, Poland 318:012003.
Mason, P. J., & Thomson, D. J. (1987). Large-eddy simulations of the neutral-static-stability planetary boundary layer. Q. J. R. Meteorol. Soc., 113, 413–433.
Masri, H. (2018). A Shariah-Compliant Portfolio Selection Model. Journal of the Operational Research Society, 69(10), 1568–1575.
Méndez-Rodríguez, P., Pérez-Gladish, B., Cabello, J. M., & Ruiz, F. (2015). Mutual Funds’ Socially Responsible Portfolio Selection with Fuzzy Data. In M. Al-Shammari & H. Masri (Eds.), Multiple Criteria Decision Making in Finance, Insurance and Investment (pp. 229–247). Springer International Publishing.
Mill, G. A., & Holland, L. (2005). Socially Responsible Investment, Information and the Myth of Underperformance. Social Responsibility Journal, 1(1/2), 91–97.
Miskolczi, P. (2017). Note on Simple and Logarithmic Return. Applied Studies In Agribusiness And Commerce, 11(1–2), 127–136.
Newsom, R. K., Sivaraman, C., Shippert, T., & Riihimaki, L. D. (2015). Doppler lidar vertical velocity statistics value-added product (DOE/SC-ARM/TR-149). DOE ARM Climate Research Facility.
Oikonomou, I., Platanakis, E., & Sutcliffe, C. (2018). Socially Responsible Investment Portfolios: Does the Optimization Process Matter? The British Accounting Review, 50(4), 379–401.
Orsato, R. J., Garcia, A., Mendes-Da-Silva, W., Simonetti, R., & Monzoni, M. (2015). Sustainability Indexes: Why Join in? A Study of the `Corporate Sustainability Index (ISE)’ in Brazil. Journal of Cleaner Production, 96, 161–170.
Ortas, E., Burritt, R. L., & Moneva, J. M. (2013). Socially Responsible Investment and Cleaner Production in the Asia Pacific: Does It Pay to Be Good? Journal of Cleaner Production, 52, 272–280.
Petrillo, A., De Felice, F., García-Melón, M., & Pérez-Gladish, B. (2016). Investing in Socially Responsible Mutual Funds: Proposal of Non-Financial Ranking in Italian Market. Research in International Business and Finance, 37, 541–555.
Qi, Y. (2018). On Outperforming Social-Screening-Indexing by Multiple-Objective Portfolio Selection. Annals of Operations Research, 267(1–2), 493–513.
Rahiminezhad Galankashi, M., Mokhatab Rafiei, F., & Ghezelbash, M. (2020). Portfolio selection: A fuzzy-ANP approach. Financial Innovation, 6(1), 17.
Rahman, S., Lee, C.-F., & Xiao, Y. (2017). The Investment Performance, Attributes, and Investment Behavior of Ethical Equity Mutual Funds in the US: An Empirical Investigation. Review of Quantitative Finance and Accounting, 49(1), 91–116.
Rubio, J. F., Maroney, N., & Hassan, M. K. (2018). Can Efficiency of Returns Be Considered as a Pricing Factor? Computational Economics, 52(1), 25–54.
Saaty, T. L. (1977). A Scaling Method for Priorities in Hierarchical Structures. Journal of Mathematical Psychology, 15(3), 234–281.
Saaty, T. L., & Tran, L. T. (2007). On the invalidity of fuzzifying numerical judgments in the Analytic Hierarchy Process. Mathematical and Computer Modelling, 46(7–8), 962–975.
Saaty, T. L., & Vargas, L. G. (2012). How to Make a Decision. In Models, Methods, Concepts & Applications of the Analytic Hierarchy Process (Vol. 175, pp. 1–21). Springer US.
Salesky, S. T. (2014). Monin-Obukhov similarity and convective organization in the unstable atmospheric boundary layer [PhD Thesis]. The Pennsylvania State University, Pennsylvania, USA.
Socially Responsible Investment: A Multi-Criteria Decision Making Approach. (2014). Springer Berlin Heidelberg.
Tsai, W.-H., Chou, W.-C., & Hsu, W. (2009). The Sustainability Balanced Scorecard as a Framework for Selecting Socially Responsible Investment: An Effective MCDM Model. The Journal of the Operational Research Society, 60(10), 1396–1410.
US, S. (2018). Report on US Sustainable, Responsible and Impact Investing Trends 2018.
USSIF. (2018). The Forum for Sustainable and Responsible Investment.
Utz, S., Wimmer, M., Hirschberger, M., & Steuer, R. E. (2014). Tri-Criterion Inverse Portfolio Optimization with Application to Socially Responsible Mutual Funds. European Journal of Operational Research, 234(2), 491–498.
Utz, S., Wimmer, M., & Steuer, R. E. (2015). Tri-Criterion Modeling for Constructing More-Sustainable Mutual Funds. European Journal of Operational Research, 246(1), 331–338.
Wyngaard, J. C. (2004). Changing the face of small-scale meteorology. In E. Fedorovich, R. Rotunno, & B. Stevens (Eds.), Atmospheric turbulence and mesoscale meteorology. Cambridge University Press, Cambridge, pp 17-34.
Zadeh, L. A. (1965). Fuzzy Sets. Information and Control, 8(3), 338–353.
Zhou, X., Wang, L., Liao, H., Wang, S., Lev, B., & Fujita, H. (2019). A prospect theory-based group decision approach considering consensus for portfolio selection with hesitant fuzzy information. Knowledge-Based Systems, 168, 28–38.