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论文编号：	4309
作者编号：	2120102278
上传时间：	2012/6/6 22:25:54
中文题目：	包含企业社会责任的多目标投资组合——基于遗传算法的实现
英文题目：	Incorporate Corporate Social Responsibility in Multi-Objective Portfolio：Based on Genetic Algorithm Realization
指导老师：	齐岳
中文关键字：	社会责任，社会责任投资，多目标投资组合，遗传算法
英文关键字：	Social Responsibility, Socially Responsible Investment, Portfolio of Multi-Objective, Genetic Algorithm
中文摘要：	改革开放以来，中国经济取得了快速发展，但同时也暴露出很多经济发展与社会发展不相协调的问题。社会责任投资（SRI）作为一种全新的投资理念，其目的在于引导企业和投资者在关注经济利益的同时也关注社会利益。而企业社会责任（CSR）作为一个难以量化的概念，投资者在现实中如何去量化、进而将其作为投资选择的依据目前缺少理论和实证基础。本文在借鉴前人研究的基础上，主要研究企业社会责任量化并进而构建投资组合模型以及模型中投资权重求解问题。本文根据全球标准行业分类标准（GICS），在10个一级行业中分别选取一家样本企业，构成10个样本数据，借鉴国际KLD社会责任评级框架，量化样本企业的社会责任。选取其中的社区关系、产品和公司治理三个指标与传统的协方差和预期收益构成五个目标函数的多目标投资组合，进一步采用多目标遗传算法（MOGA）对该组合进行求解。最后将计算得到的有效集投影到方差——收益平面，根据“有效边界”选取15个投资点与上证综指、深圳成指、沪深300、上证50等4只大盘指数在2010年1月8日至2012年3月9日期间的周收益数据进行T检验。结果显示企业社会责任投资组合的收益均值60%都高于同期的大盘指数。这在某种程度上证实股票投资过程中关注社会责任可以为投资者创造收益，同时这一结果还能鼓励企业去履行社会责任，为社会责任投资在我国的发展奠定实证基础。
英文摘要：	Since the reform and opening up, China's economy has achieved rapid development, but also exposed a lack of coordination between economic and social development. Social responsibility Investment (SRI) as a newly investment philosophy aims to guide enterprises and investors concern about the economic benefits and the interests of the community. But the concept of CSR is difficult to quantify. In reality, how to quantify and make it as selection basis lacks theoretical and empirical basis. On the basis of previous theory and empirics, the study aims to quantify CSR and thus to build a portfolio model and work out the investment weights. This study selects a sample of enterprises according to the Global Standard Industrial Classification (GICS) and respectively in 10 one industry constitutes 10 sample data. Base on the framework of the International KLD social responsibility rating, this study quantify CSR of the samples. Then select three indicators including Product, Corporate Governance, Community Relations and together with the traditional Variance and Expected Returns which constitute the five objectives portfolio. Further this study use multi-objective genetic algorithm (MOGA) to solve the model. Finally, the effective set was projected onto the surfaces of Variance-Returns. According to the theory of "efficient frontier", this study select 15 investment points and make T-test with the Shanghai Composite Index, Shenzhen Component Index, CSI 300, SSE 50 etc. from 2010.1.8 to 2012.3.9 of the weekly earnings data. Results show that income mean of CSR portfolio is 60% higher than the market index over the same period. This is confirmed to some extent that concerned about social responsibility will generate revenue for investors in the equity investment process. This can also encourage enterprises to fulfill their social responsibility. This study helps lay an empirical foundation of SRI in China's development.
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