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Comparative Analysis Between Sustainable Index and Non-sustainable Index with Genetic Algorithms: Application to OECD Countries

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Scientific Methods for the Treatment of Uncertainty in Social Sciences

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 377))

Abstract

This study analyses the differences in financial portfolio metrics between sustainable index and non-sustainable firms in the market index through the use of the portfolio theory and genetic algorithms from 2007 to 2013. The sample consists in 926 firms of four regions (1) Europe: Germany, Austria, Denmark, Spain, Finland, Italy, Norway, Sweden and United Kingdom, (2) Asia: Japan, (3) America: Canada, United States of America and Mexico and (4) Oceania: Australia. To measure the performance of the portfolio two classical metrics: Jensen’s alpha and Sharpe ratio were considered. We also calculate a conditional metric that measures the number of times the return of a given portfolio exceeds the average market return. The goal is to find a portfolio that maximizes these three metrics using a weighted ratio and compare the results between the sustainable and non-sustainable portfolios. Due to a nonlinear programming problem, we use genetic algorithms to obtain the optimal portfolio. The results show a better performance in sustainable portfolios in eight countries, although the amount of countries increases if only the conditional metric is considered.

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Notes

  1. 1.

    OptQuest is a registered product of OptTek Systems. OptQuest integrate metaheuristics methods such as tabu search procedures, artificial neural networks and scatter search on a single composite method. Since this generator is based on scatter search for combinations and apply local search methods, Martí and Laguna (2002) point that can be considered included in the so-called Lamarckian algorithms.

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Authors and Affiliations

  1. Facultad de Contaduría Pública y Administración, Universidad Autónoma de Nuevo León, Manuel L. Barragan y Pedro de Alba, Ciudad Universitaria, San Nicolás de los Garza, NL, Mexico

    Martha-del-Pilar Rodríguez-García, Klender Cortez-Alejandro & Alma-Berenice Méndez-Sáenz

Authors
  1. Martha-del-Pilar Rodríguez-García
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  2. Klender Cortez-Alejandro
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  3. Alma-Berenice Méndez-Sáenz
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Corresponding author

Correspondence to Martha-del-Pilar Rodríguez-García .

Editor information

Editors and Affiliations

  1. Royal Academy of Economic and Financial Sciences (RACEF), Barcelona, Spain

    Jaime Gil-Aluja

  2. Department of Business Management, Universitat Rovira i Virgili Faculty of Business and Economics, Reus, Spain

    Antonio Terceño-Gómez

  3. Department of Business Administration, University of Girona, Girona, Spain

    Joan Carles Ferrer-Comalat

  4. Department of Management Control and Information Systems, University of Chile, Santiago, Chile

    José M. Merigó-Lindahl

  5. Department of Business Administration, University of Girona, Girona, Spain

    Salvador Linares-Mustarós

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Rodríguez-García, MdP., Cortez-Alejandro, K., Méndez-Sáenz, AB. (2015). Comparative Analysis Between Sustainable Index and Non-sustainable Index with Genetic Algorithms: Application to OECD Countries. In: Gil-Aluja, J., Terceño-Gómez, A., Ferrer-Comalat, J., Merigó-Lindahl, J., Linares-Mustarós, S. (eds) Scientific Methods for the Treatment of Uncertainty in Social Sciences. Advances in Intelligent Systems and Computing, vol 377. Springer, Cham. https://doi.org/10.1007/978-3-319-19704-3_27

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  • DOI: https://doi.org/10.1007/978-3-319-19704-3_27

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-19703-6

  • Online ISBN: 978-3-319-19704-3

  • eBook Packages: EngineeringEngineering (R0)

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