Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
We present a framework for inverse optimization in a 3D Markowitz portfolio model. We analyze a broad sample of conventional and socially responsible (SR) mutual funds. Post screening, there is no difference in how assets are allocated in SR mutual funds. We compute nondominated surfaces in a 3D Markowitz portfolio model.
inverse optimization nondominated surfaces socially responsible investing portfolio selection multiple criteria optimization multiple criteria decision making