A multi-objective sustainable financial portfolio selection approach under an intuitionistic fuzzy framework
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2023Keyword
Portfolio optimisationMulti-objective portfolio selection
Multi-criteria decision making
Sustainability
Intuitionistic fuzzy set theory
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© 2023 Elsevier. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.Peer-Reviewed
YesOpen Access status
openAccessAccepted for publication
2023-07-08
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In recent decades, sustainable investing has caught on with investors, and it has now become the norm. In the age of start-ups, with scant information on the sustainability aspects of an asset, it becomes harder to pursue sustainable investing. To this end, this paper proposes a sustainable financial portfolio selection approach in an intuitionistic fuzzy framework. We present a comprehensive three-stage methodology in which the assets under consideration are ethically screened in Stage-I. Stage-II is concerned with cal- culating the sustainability scores, based on various social, environmental, and economic (SEE) criteria and an evaluation of the return and risk of the ethical assets. Intuitionistic fuzzy set theory is used to gauge the linguistic assessment of the assets on several SEE criteria from multiple decision-makers. A novel intuitionistic fuzzy multi-criteria group decision-making technique is applied to calculate the sustainability score of each asset. Finally, in Stage-III, an intuitionistic fuzzy multi-objective financial portfolio selection model is developed with maximization of the satisfaction degrees of the sustainabil- ity score, return, and risk of the portfolio, subject to several constraints. The ε-constraint method is used to solve this model, which yields various efficient, sustainable financial portfolios. Subsequently, investors can choose the portfolio best suited to their preferences from this pool of efficient, sustainable financial portfolios. A detailed empirical illustration and a comparison with existing works are given to substantiate and validate the proposed approach.Version
Accepted manuscriptCitation
Yadav S, Kumar A, Mehlavat MK et al (2023) A multi-objective sustainable financial portfolio selection approach under an intuitionistic fuzzy framework. Information Sciences. 646: 119379.Link to Version of Record
https://doi.org/10.1016/j.ins.2023.119379Type
Articleae974a485f413a2113503eed53cd6c53
https://doi.org/10.1016/j.ins.2023.119379