投资组合模型的改进研究:基于企业社会责任视角的实证分析  

Improvement of Portfolio Models Research: An Empirical Study of Corporate Social Responsibility

作　　者：齐岳[1,2] 林龙[2] 

机构地区：[1]南开大学中国公司治理研究院,天津300071 [2]南开大学商学院,天津300071

出　　处：《运筹与管理》2015年第3期275-287,共13页Operations Research and Management Science

基　　金：国家自然科学基金重点项目(71132001)"我国集团企业跨国治理与评价研究";教育部人文社会科学重点研究基地重大项目(14JJD630007)"基金治理和基民利益保护研究";教育部人文社会科学研究基金项目(09YJC630133)"基于多目标投资组合选择的中国企业社会责任感研究及多资产定价和市场有效性的影响"

摘　　要：在尊重和借鉴前人对企业社会责任研究,尤其是在企业社会责任评价研究基础之上,本文从投资者的角度在投资组合过程中研究企业社会责任。在Markowitz(均值—方差)理论模型上添加企业社会责任的三个一级指标期望作为目标函数,由此将传统的投资组合模型扩展为五个目标函数的投资组合选择模型,而且我们根据经济学中经典的效用函数理论证明了此模型的正确性。本文引入主流的企业社会责任评价标准,并对一些典型公司进行打分量化。在此基础之上建立了以期望回报率、回报率的方差、核心利益相关者期望、蛰伏利益相关者期望和边缘利益相关者期望为目标函数的投资组合选择模型,在最小方差曲面上选取10个点构造投资组合,并以样本外的数据验证了模型的有效性。研究发现:根据此模型计算出来的部分投资组合回报率显著高于同期的市场指数。研究结果表明,这种关注企业社会责任的多目标投资组合选择模型,不仅让投资者可以直接控制企业社会责任,而且实际数据证明了此模型的优势之处,从而为关注企业社会责任的投资者提供一种投资的方法和思路。In this paper, we study corporate social responsibility （CSR）through the prism of investors in the process of portfolio. In order to study CSR, we extend traditional portfolio model to five objectives portfolio selection model by adding CSR index as objective functions in Markowitz mean-variance. We extend traditional utility function and prove that the new function is efficient. We measure the typical corporate CSR performance by the mainstream evaluation criteria. The new model has five objectives which include expected returns, variance, the core stakeholders, dormant stakeholders and edge stakeholders. We formulate portfolio by selecting 10 points on the surface of the minimum variance portfolio. The multi-objective formulation is tested by randomly choosing nondominated portfolios with out-of-sample data to testify efficiency. We find that part of portfolio returns are significantly higher than market returns in the same period. It shows that the formulation can not only help investors to control the CSR directly, but also prove the advantage by actual data, which can provide one method and an idea for investors who focus on CSR.

关 键 词：企业社会责任 多目标投资组合选择 多目标优化 投资组合模型 

分 类 号：F830.59[经济管理—金融学]