Selection of investment portfolios with social responsibility: a multiobjective model and a Tabu search method

Abstract In this study, a model for the selection of investment portfolios is proposed with three objectives. addition to traditional objectives maximizing profitability and minimizing risk, maximization social responsibility also considered. Moreover, purpose controlling transaction costs, limit placed on number assets selection. To best our knowledge, specific has not been considered in literature date. This difficult (NP-Hard), therefore, only very small instances may be solved an exact way. paper proposes method based tabu search multiobjective adaptive memory programming (MOAMP) strategies. With it possible obtain sets nondominated solutions short computational times. check performance compared adaptations sorting genetic algorithm (NSGA-II), strength Pareto evolutionary (SPEA-II) particle swarm optimization (MOPSO). The results different experiments show that search-MOAMP performed best. quality were obtained speed execution mean can used as tool financial assessment analysis (including online services). tool, we see work some examples, take into account concerns many clients their overall risk profile (very conservative, moderate, or fearless). approach line current legal regulations oblige advisors client provide greater protection propose good advice.