Klender Aimer Cortez Alejandro

An assessment of OECD sustainable portfolios with a multi-criteria approach under uncertainty

Purpose This paper aims to analyse the differences in financial performance portfolios between sustainable and non-sustainable firms through the use of portfolio theory and OptQuest algorithms from 2007 to 2013. Design/methodology/approach The sample consists of 1,078 firms from 15 Organisation for Economic Cooperation and Development countries. A maximisation weighted ratio is estimated by applying OptQuest algorithms to measure the portfolio performance considering a fuzzy Jensen’s alpha and the percentage of the portfolio’s performance that exceeds the market. Findings The results show a similar financial performance in sustainable portfolios (SP) and non-SP, but considering the uncertainty, the performance in sustainable firms was better than that of non-sustainable ones. Uncertainty was reduced, as it passed the beginning of the crisis from 2008-2009 to 2012-2013. Research limitations/implications The main limitation is the different assessments of sustainability indexes in each of the countries. Practical implications The results help investors assess their decisions in an uncertain economic environment and allocate their investment in not only financial terms but also social character. Social implications Countries with higher financial performances in SP show the efficiency in their legal environmental regulations. On the other hand, the degree of uncertainty is lower in the SP than non-SP, suggesting that sustainable firms in financial crisis could be more responsible in social claims such as good working conditions. Originality/value This study contributes to existing research in two ways. First, the paper studies corporate social responsibility by different continents and countries in an uncertain economic timespan. For this, the legal, cultural and socioeconomic divergences and convergences were explored. Second, the research presented an analysis of the financial performance differences between sustainable and non-SP by applying a hybrid methodology with fuzzy regression and OptQuest algorithms.

Análisis de portafolio por sectores mediante el uso de algoritmos genéticos: caso aplicado a la Bolsa Mexicana de Valores

El tipo de sector, el tamano de la empresa, el numero de trabajadores,etc. son variables que se consideran de control en unagran cantidad de publicaciones. En este trabajo consideramosestudiar la variable sector —mas que como una variable de control—como una variable determinante del desempeno financiero(Baird et al. 2012) y del riesgo (Artikis y Nifora, 2011).Asi, se analiza seis sectores de la economia mexicana divididosde acuerdo con la Bolsa Mexicana de Valores en Industrial,Productos de consumo basico, Materiales, Productos de consumono basico, Telecomunicaciones y Servicios financieros.La muestra se compone de 30 empresas mexicanas dentro delperiodo de 2007-2012. Para medir el desempeno del portafoliose utilizan dos indicadores clasicos: (1) Alfa de Jensen y (2)Ratio de Sharpe; se utiliza una metrica condicional que mideel numero de veces que el rendimiento del portafolio supera elrendimiento promedio del mercado. El objetivo es encontrarun portafolio que maximice estos parametros y comparar losresultados entre los diferentes sectores bajo estudio. Debidoa un problema de programacion no lineal, se utilizan algoritmosgeneticos para obtener el portafolio optimo que maximiceestas metricas. Los resultados muestran un mejor desempenofinanciero ajustado a riesgo en el sector de Materiales y Serviciosfinancieros y un desempeno mas bajo en sectores como elIndustrial y el de Telecomunicaciones.