Incorporating preferential weights as a benchmark into a Sequential Reference Point Method

Jiménez, Mariano; Bilbao-Terol, Amelia; Arenas-Parra, Mar

doi:10.1016/j.ejor.2020.01.019

Cited by 4 publications

(1 citation statement)

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“…In addition, there are several other papers on portfolio selection that take into account the ethical, social, and environmental factors highlighted by SRI. Some academics have tried to extend or complement the classic models of portfolio selection that were initially proposed by Markowitz ( 1952 ) (e.g., Drut 2010 ; Dorfleitner and Utz 2012 ) while other studies have been based on multi-criteria decision-making (e.g., Hallerbach and Spronk 2002 ; Hallerbach et al 2004 ; Bilbao-Terol et al 2016 ; Spronk et al 2016 ; Jiménez et al 2021 ). Multi-criteria decision analysis (Zeleny 1974 ) provides a framework for managing an investment portfolio 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 (Hallerbach et al 2004 ; Bilbao et al 2015 ).…”

Section: Literature Reviewmentioning

confidence: 99%

Is investing in the renewable energy stock market both financially and ESG efficient? A COVID-19 pandemic analysis

et al. 2023

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The aim of this paper is to provide a tool for finding investments in the stocks of energy firms that achieve both good financial and reasonable environmental, social, and governance (ESG) performance. Our methodology entails two steps and is based on diversification-consistent DEA models. The first step involves constructing a financially efficient frontier of investment portfolios by applying the model originally proposed by Branda (Omega 52:65–76. 10.1016/j.ejor.2007.04.014, 2015). In the second step, a new DEA model is proposed in order to find the ESG-efficient portfolios among the ones already identified in the first step and to rank them with respect to their ESG performance. This model is parameterised by a weighting system that allows us to assign different importance to the various ESG outputs. Additionally, the proposal allows an evaluation of both ESG and financial efficiency related to the financial energy market over two periods (the pre-COVID-19 and COVID-19 periods), considering renewable energy and non-renewable energy firms both jointly and separately. The results support the better financial performance of the renewable energy stock market compared with that of the non-renewable energy market.

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