企业社会责任视角下多目标投资组合选择模型研究.pdfVIP

企业社会责任视角下的多目标投资组合选择模型研究* 1,2 2 齐岳 ，林龙 （ 南开大学中国公司治理研究院，天津， ； 南开大学商学院财务管理系，天津， ） 1. 300071 2. 300071 摘要：由于跟社会责任有关的企业的负面新闻频频被曝光，使得公众更为关注企业的社会 责任问题。然而，社会责任投资问题在中国却是很少被人们所关注。传统的投资组合研究 都是建立在马克维茨(均值-方差)模型的理论基础之上的单目标的研究，而理性的投资者不 仅追求收益尽可能的高，风险尽可能低的投资组合，还关注其他的如分红、证券周转率、 证券的种类和社会责任等因素。根据投资者的这一意愿， 本文引入企业社会责任的评价指 标体系，利用多目标规划的方法建立了以企业社会责任维度为目标函数的多目标投资组合 选择模型 ，并提出模型优化的方法，力图引起人们对社会责任投资的关注。 关键词：企业社会责任；社会责任投资；投资组合选择; 多目标优化 The Multi-Objective Portfolio Selected Model Research Based * on Corporate Social Responsibility Qi Yue1，2 ，LIN Long2 (1. Research Institute of Corporate Governance of China of Nankai University 2.Department of Financial Management School of Business of Nankai University， Tianjin 300071,China) Abstract ：people has become more careful of corporate social responsibility gradually with the case of bad news are exposed by media. However, people scarcely focus on the manner which the investor should think of social responsibility. The standard portfolio theory is single objective research on the mean-variance theory which created by Markowitz. However, it has never thought of the case of multi-objective portfolio . suitable-portfolio investors are pursuing their returns as possible as more, at the same time their risk are lower as far as possible. Moreover, Such investors would have additional stochastic and deterministic objectives that might include dividends, turnover , number of securities in a portfolio, social responsibility, and so forth. To accommodate such investors, we develop a multiple criteria portfolio selection formulation based on corporate social respon