运筹与管理Issue(3)：275-287,13.
投资组合模型的改进研究：基于企业社会责任视角的实证分析
lmprovement of Portfolio Models Research:An Empirical Study of Corporate Social Responsibility
摘要
Abstract
In this paper, we study corporate social responsibility ( CSR ) through the prism of investors in the process of portfolio.In order to study CSR, we extend traditional portfolio model to five objectives portfolio selec-tion model by adding CSR index as objective functions in Markowitz mean-variance.We extend traditional utility function and prove that the new function is efficient.We measure the typical corporate CSR performance by the mainstream evaluation criteria.The new model has five objectives which include expected returns, variance, the core stakeholders, dormant stakeholders and edge stakeholders.We formulate portfolio by selecting 10 points on the surface of the minimum variance portfolio.The multi-objective formulation is tested by randomly choosing nondominated portfolios with out-of-sample data to testify efficiency.We find that part of portfolio returns are sig-nificantly higher than market returns in the same period.It shows that the formulation can not only help investors to control the CSR directly, but also prove the advantage by actual data, which can provide one method and an idea for investors who focus on CSR.关键词
企业社会责任/多目标投资组合选择/多目标优化/投资组合模型Key words
corporate social responsibility/multi-objective portfolio selection/multi-objective optimization/portfolio model分类
管理科学引用本文复制引用
齐岳,林龙..投资组合模型的改进研究：基于企业社会责任视角的实证分析[J].运筹与管理,2015,(3):275-287,13.基金项目
国家自然科学基金重点项目（71132001）“我国集团企业跨国治理与评价研究”；教育部人文社会科学重点研究基地重大项目（14JJD630007）“基金治理和基民利益保护研究”；教育部人文社会科学研究基金项目（09YJC630133）“基于多目标投资组合选择的中国企业社会责任感研究及多资产定价和市场有效性的影响” （）
