Sustainable Portfolio Optimization Model Using PROMETHEE Ranking: A Case Study of Palm Oil Buyer Companies
Sustainability is one of the main concerns of decision makers, factories, and retailers. This importance increases when the organization needs to define, implement, and manage a sustainable portfolio to succeed in today’s environment of change and uncertainty. Therefore, this study examines the port...
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/8935213 |
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| author | Seyedeh Asra Ahmadi Ali Peivandizadeh |
| author_facet | Seyedeh Asra Ahmadi Ali Peivandizadeh |
| author_sort | Seyedeh Asra Ahmadi |
| collection | DOAJ |
| description | Sustainability is one of the main concerns of decision makers, factories, and retailers. This importance increases when the organization needs to define, implement, and manage a sustainable portfolio to succeed in today’s environment of change and uncertainty. Therefore, this study examines the portfolio of palm producers from 2010 to 2020. The proposed optimization model is based on the classic mean-variance approach and companies ranked using the PROMETHEE method. Our findings indicate that the effects of this asset allocation change in favour of high-score sustainability investments significantly influence risk-adjusted returns of portfolios. According to the finding, sustainable portfolios perform better than conventional ones. The findings could be useful to private and institutional investors and fund managers in constructing and managing their portfolios. The efficient frontier of the best 50% portfolio shows a higher risk for a higher return. This could explain that a higher sustainability score in different criteria leads to more optimal portfolios in terms of risk and return. Intended contributions include considering sustainability, minimizing risk, and portfolio management simultaneously. |
| format | Article |
| id | doaj-art-fed79f93573f4441a8ac562f427af2e3 |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-fed79f93573f4441a8ac562f427af2e32025-02-03T01:21:03ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/8935213Sustainable Portfolio Optimization Model Using PROMETHEE Ranking: A Case Study of Palm Oil Buyer CompaniesSeyedeh Asra Ahmadi0Ali Peivandizadeh1Department of Business ManagementGraduated StudentSustainability is one of the main concerns of decision makers, factories, and retailers. This importance increases when the organization needs to define, implement, and manage a sustainable portfolio to succeed in today’s environment of change and uncertainty. Therefore, this study examines the portfolio of palm producers from 2010 to 2020. The proposed optimization model is based on the classic mean-variance approach and companies ranked using the PROMETHEE method. Our findings indicate that the effects of this asset allocation change in favour of high-score sustainability investments significantly influence risk-adjusted returns of portfolios. According to the finding, sustainable portfolios perform better than conventional ones. The findings could be useful to private and institutional investors and fund managers in constructing and managing their portfolios. The efficient frontier of the best 50% portfolio shows a higher risk for a higher return. This could explain that a higher sustainability score in different criteria leads to more optimal portfolios in terms of risk and return. Intended contributions include considering sustainability, minimizing risk, and portfolio management simultaneously.http://dx.doi.org/10.1155/2022/8935213 |
| spellingShingle | Seyedeh Asra Ahmadi Ali Peivandizadeh Sustainable Portfolio Optimization Model Using PROMETHEE Ranking: A Case Study of Palm Oil Buyer Companies Discrete Dynamics in Nature and Society |
| title | Sustainable Portfolio Optimization Model Using PROMETHEE Ranking: A Case Study of Palm Oil Buyer Companies |
| title_full | Sustainable Portfolio Optimization Model Using PROMETHEE Ranking: A Case Study of Palm Oil Buyer Companies |
| title_fullStr | Sustainable Portfolio Optimization Model Using PROMETHEE Ranking: A Case Study of Palm Oil Buyer Companies |
| title_full_unstemmed | Sustainable Portfolio Optimization Model Using PROMETHEE Ranking: A Case Study of Palm Oil Buyer Companies |
| title_short | Sustainable Portfolio Optimization Model Using PROMETHEE Ranking: A Case Study of Palm Oil Buyer Companies |
| title_sort | sustainable portfolio optimization model using promethee ranking a case study of palm oil buyer companies |
| url | http://dx.doi.org/10.1155/2022/8935213 |
| work_keys_str_mv | AT seyedehasraahmadi sustainableportfoliooptimizationmodelusingprometheerankingacasestudyofpalmoilbuyercompanies AT alipeivandizadeh sustainableportfoliooptimizationmodelusingprometheerankingacasestudyofpalmoilbuyercompanies |