Title: An AHP-based approach to mutual funds' social performance measurement

Authors: Blanca Perez-Gladish, Bouchra M'Zali

Addresses: Facultad de CC, Departamento de Economia Cuantitativa, Economicas y Empresariales de la Universidad de Oviedo, Avda. del Cristo s/n, Oviedo, Asturias, 33006, Spain. ' Departement de Finance Universite du Quebec a Montreal, Case Postale 8888, Succursale Centre-ville, Montreal (Quebec) H3C 3P8, Canada

Abstract: Socially responsible investors have both, financial as well as non-financial goals in investment decision-making. Several methods for ranking mutual funds based on financial performance have been developed; nonetheless, ranking based on non-financial performance is rather underdeveloped. The aim of this article is to present a ranking method for mutual funds, based on their socially responsible performance. The suggested ranking method could complement financial information and help socially responsible mutual fund managers, individual and institutional investors in their portfolio selection process. The results reveal, after comparing the rank obtained with the proposed method with rankings derived from other socially responsible measurements based on just one decision criterion, that an integrated framework using multiple criteria decision analysis (MCDA) techniques could help the investor in selecting a suitable socially responsible mutual funds portfolio, because the consideration of several criteria reflect more precisely the multiple dimensions of this decision making problem.

Keywords: finance; socially responsible investment; mutual funds; decision support systems; DSS; MCDA; analytical hierarchy process; AHP; multicriteria decision making; performance measurement; investment decision making; ranking; social responsibility.

DOI: 10.1504/IJMCDM.2010.033689

International Journal of Multicriteria Decision Making, 2010 Vol.1 No.1, pp.103 - 127

Published online: 17 Jun 2010 *

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