Papers by Amelia Bilbao-Terol
Review of Managerial Science
The aim of this paper is to provide a tool for finding investments in the stocks of energy firms ... more The aim of this paper is to provide a tool for finding investments in the stocks of energy firms that achieve both good financial and reasonable environmental, social, and governance (ESG) performance. Our methodology entails two steps and is based on diversification-consistent DEA models. The first step involves constructing a financially efficient frontier of investment portfolios by applying the model originally proposed by Branda (Omega 52:65–76. 10.1016/j.ejor.2007.04.014, 2015). In the second step, a new DEA model is proposed in order to find the ESG-efficient portfolios among the ones already identified in the first step and to rank them with respect to their ESG performance. This model is parameterised by a weighting system that allows us to assign different importance to the various ESG outputs. Additionally, the proposal allows an evaluation of both ESG and financial efficiency related to the financial energy market over two periods (the pre-COVID-19 and COVID-19 periods),...
Review for "Measuring the financial and social performance of French mutual funds: A data envelopment analysis approach
Las nuevas tecnologías de la información y de la comunicación suponen un instrumento de gran valo... more Las nuevas tecnologías de la información y de la comunicación suponen un instrumento de gran valor en la docencia universitaria. Los medios que estas tecnologías ponen al servicio de la docencia posibilitan que el profesor haga más próxima y asequible la materia y que el alumno tome una mayor responsabilidad en su aprendizaje. El objetivo de la presente comunicación es presentar un proyecto de innovación docente para la asignatura Matemática Financiera en el contexto del soporte proporcionado por el Proyecto AulaNet de la Universidad de Oviedo, que sirve para plantear una reflexión sobre los métodos más adecuados en el docencia en red. Los gráficos y esquemas dinámicos, la hoja de cálculo, las preguntas y ejercicios resueltos en la red, así como lecturas y otro tipo de material complementario son instrumentos de gran utilidad. Su utilización se circunscribe, por ahora, al apoyo a la docencia presencial que resulta muy difícil de sustituir en el ámbito de estos estudios, donde la ens...
Una herramienta de apoyo al estudio de las matemáticas en asignaturas de carreras jurídico-sociales:El “Café Matemático”
Este trabajo presenta los primeros resultados de una experiencia de innovación docenterelativa a ... more Este trabajo presenta los primeros resultados de una experiencia de innovación docenterelativa a la acción tutorial.La actividad tutorial constituye un elemento básico en los modelos de enseñanzacentrados en el estudiante promovidos por el Espacio Europeo de Educación Superior. Eltrabajo que presentamos forma parte de un proyecto de innovación que se desarrolló durante elcurso 2007-08 en la Universidad de Oviedo y cuyo objetivo era la reflexión sobre el futuropapel de las tutorías en la Universidad Española. En el marco del mismo se ha creado un foropresencial (“Café Matemático”), con implantación paralela virtual, de discusión y resolución dedudas, que con carácter periódico fomenta que distintos grupos en la universidad(investigadores y alumnos) planteen dudas de ámbito matemático cuya resolución seráabordada conjuntamente. Esta experiencia es especialmente interesante para alumnos de últimocurso, que pueden ofrecer su apoyo y asesoramiento a alumnos de los primeros cursos en unam...
A group decision making model based on goal programming with fuzzy hierarchy: an application to regional forest planning
Annals of Operations Research, 2014
ABSTRACT In this paper a multi-criteria group decision making model is presented in which there i... more ABSTRACT In this paper a multi-criteria group decision making model is presented in which there is a heterogeneity among the decision makers due to their different expertise and/or their different level of political control. The relative importance of the decision makers in the group is handled in a soft manner using fuzzy relations. We suppose that each decision maker has his/her preferred solution, obtained by applying any of the techniques of distance-based multi-objective programming [compromise, goal programming (GP), goal programming with fuzzy hierarchy, etc.]. These solutions are used as aspiration levels in a group GP model in which the differences between the unwanted deviations are interpreted in terms of the degree of achievement of the relative importance amongst the group members. In this way, a group GP model with fuzzy hierarchy (Group-GPFH) is constructed. The solution for this model is proposed as a collective decision. To show the applicability of our proposal, a regional forest planning problem is addressed. The objective is to determine tree species composition in order to improve the values achieved by Pan-European indicators for sustainable forest management. This problem involves stakeholders with competing interests and different preference schemes for the aforementioned indicators. The application of our proposal to this problem allows us to be able to comfortably address all these issues. The results obtained are consistent with the preferences of each stakeholder and their hierarchy within the group.
RAE: Revista Asturiana de …, 2003
El objetivo de este trabajo es analizar los aspectos distributivos de las políticas de vivienda d... more El objetivo de este trabajo es analizar los aspectos distributivos de las políticas de vivienda directas que se aplican en la actualidad en el Principado de Asturias. El estudio hace especial referencia a la elección de las medidas de desigualdad, presentándose varias de ellas con diferentes características metodológicas. Los resultados indican que dependiendo de la medida de desigualdad elegida el efecto redistributivo de la política es diferente. Así, las medidas de desigualdad tradicionales, como el índice de Gini, indican que la política es altamente distributiva mientras que medidas menos comunes en la literatura indican el efecto contrario. Palabras clave: distribución, políticas de vivienda, medidas de desigualdad.
Nonparametric neural network modeling of hedonic prices in the housing market
Empirical Economics, 2011
This article addresses the contribution to hedonic modeling of a nonparametric approach based on ... more This article addresses the contribution to hedonic modeling of a nonparametric approach based on artificial neural network (ANN) regressions. ANNs provide consistent estimates for the hedonic price of each attribute and permit a number of hypotheses on the hedonic price relationship to be tested nonparametrically. In particular, we exploit results by Stinchcombe and White (Econom Theory 14:295–324, 1998) in order to carry out misspecification testing in linear and semiloglinear hedonic models. The same approach directly applies to testing misspecification of any parametric specification for the hedonic relationship. A nonparametric significance test for the variables in the hedonic model is also proposed. The test extends the approach developed by Racine (J Bus Econ Stat 15(3):369–378, 1997) in kernel-based nonparametric testing to ANN-based inference. The finite sample performance of the proposed tests is analyzed through Monte Carlo experiments, and simulation-based algorithms for computation of the null distribution of the tests are proposed. Then, the performance of three classes of regression models—linear, semi-log, and ANNs—applied to hedonic price modeling in a Spanish regional housing market is compared. Our results indicate the presence of nonlinear behavior, as predicted by economic theory, with the ANN-based tests detecting statistically significant evidence of misspecification—both in the linear and the semilog specifications—and ANN regressions providing moderate improvement of predictive performance.
Economics Letters, 2007
Subsidies aimed at heterogeneous goods, as housing, do not merely generate the traditional excess... more Subsidies aimed at heterogeneous goods, as housing, do not merely generate the traditional excess burden: there is another welfare loss since the distortion affects non-price characteristics. We show that the aforementioned welfare loss exists and can be quantified.
Operational Research
In this paper a multi-criteria decision-making (MCDM) method is developed to rank a set of insura... more In this paper a multi-criteria decision-making (MCDM) method is developed to rank a set of insurance companies. The proposed method is based on combining two MCDM methods: Extended Best–Worst (EBW) and Multiple Reference Point (MRP) methods. We formulate the problem of finding a priority vector from a set of interval pairwise comparisons applying an EBW method which allows the decision maker (DM) to use interval values in order to describe the relative importance of one criterion over another. The EBW method, using fuzzy set theory, can successfully handle the vagueness and ambiguity present in the judgments. Lastly, the MRP method is employed to obtain an overall score for each company using the weights established at the first stage. A case study is presented to rank Spanish non-life insurance companies based on the constructed model. Since the evaluation of insurance companies involves a great number of indicators, it is a complex MCDM issue. The results show the effectiveness of...
Fuzzy Multi-criteria Support for Sustainable and Social Responsible Investments: The Case of Investors with Loss Aversion
Studies in Systems, Decision and Control, 2018
The aim of this paper is to construct a support decision-making system for portfolio selection co... more The aim of this paper is to construct a support decision-making system for portfolio selection combining financial and sustainable objectives. The model we propose allows us to obtain a socially responsible portfolio which tracks the portfolio that an investor could have chosen if she did not take into account social, ethical and ecological (SEE) considerations in her investment decisions. For this purpose, we propose a fuzzy multi-criteria model that runs on two levels of decision-making: in the first stage, the preferred portfolio considering only financial objectives is obtained. In the second stage, we will use the preferred portfolio as a reference point with respect the financial behavior and then a socially responsible portfolio is obtained. In this paper linguistic labels have been used to model the parameters of the value function proposed by Kahneman and Tversky (Econometrica XVL(II):263–291, [10]). These linguistic labels determine in a “soft” way the loss and risk aversion. The developed methodology has been applied to eight Spanish companies, which have been selected for their relevance in the Spanish stock market.
Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model
International Transactions in Operational Research, 2021
European Journal of Operational Research, 2020
This is a PDF file of an article that has undergone enhancements after acceptance, such as the ad... more This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will undergo additional copyediting, typesetting and review before it is published in its final form, but we are providing this version to give early visibility of the article. Please note that, during the production process, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.
Operational Research, 2017
Competitiveness and sustainability are multidimensional concepts that are often measured using mu... more Competitiveness and sustainability are multidimensional concepts that are often measured using multiple indicators. In this paper, we are going to measure sustainable competiveness using a unique index. To do this, we work with the European Regional Competitiveness Index (RCI), which provides an overall but summarised view of territorial competitiveness for each of the NUTS 2 (Nomenclature of Units for Territorial Statistics) regions of the 28 European Union Member States. Although the RCI is a complete competitiveness index, it presents some limitations, as it does not take into account any aspect of an environmental character. In order to assess the sustainability of the NUTS 2 regions, several environmental indicators have been added to the RCI (emission of CO 2 , waste generated per capita, environmental investment of the public and private sector, among others). The Technique for Order Preference by Similarity to Ideal Solution permits aggregating these indicators to a new unified measurement of the regional sustainable competitiveness, the European Regional Sustainability Competitiveness Index, henceforth RSCI.
Integrating corporate social responsibility and financial performance
Management Decision, 2019
Purpose Corporate social responsibility (CSR) rating agencies have arisen with the aim of providi... more Purpose Corporate social responsibility (CSR) rating agencies have arisen with the aim of providing external and reliable information about business behaviour. The purpose of this paper is to present a multi-criteria methodology for integrating CSR valuations with the financial performance of companies in a unique measure of global sustainability performance. Design/methodology/approach The authors present a hybrid TOPSIS methodology on transformed scores of both the CSR valuations and the financial ratios. The “attribute-specific evaluation” approach into Multi-attribute Prospect Theory (PT) has been applied and the Design of Experiments (DoE) is used with the TOPSIS value of the firm as the response variable. Findings The proposal has been applied to 118 companies evaluated by Vigeo and Covalence CSR agencies. The authors also have considered five financial ratios of the companies in order to assess their financial performance. Consistent aggregation for firms has been achieved. R...
International Review of Financial Analysis, 2017
Our aim is to analyse the causal effect of the Socially Responsible Investment (SRI) label on the... more Our aim is to analyse the causal effect of the Socially Responsible Investment (SRI) label on the market value of mutual funds using the hedonic approach. We work with the market value of mutual funds as the dependent variable and financial characteristics jointly with the SRI label as the independent variables. Prior to hedonic evaluation a matching methodology is applied to the Environmental, Social and Governance (ESG) variables in order to balance these characteristics on the two sub-samples: SRI and conventional mutual funds. Data for our empirical analysis come from the Vigeo Database for the non-financial characteristics, and from the Morningstar Database for the rest of the necessary data. The results of the empirical study shows that there is a direct and statistically significant relationship between the SRI label and the market value of mutual funds during the studied period. This finding provides evidence of the growth of SRI, in line with most current research. Keywords Socially Responsible Investment • Matching • Mutual Funds • Hedonic Prices Highlights An analysis of the causal effect of the SRI label on the market value of mutual funds is presented. Using the hedonic approach we work with the market value of mutual funds as the dependent variable and financial characteristics jointly with the SRI label as the independent variables. Prior to hedonic evaluation a matching methodology is applied to the ESG variables in order to balance these characteristics on the two sub-samples: SRI and conventional mutual funds. The results of the empirical study show that there is a direct and statistically significant relationship between the SRI label and the market value of mutual.
International Transactions in Operational Research, 2017
For many fuzzy goal programming (GP) approaches, in order to build the membership functions of fu... more For many fuzzy goal programming (GP) approaches, in order to build the membership functions of fuzzy aspiration levels, a tolerance threshold for each one of them should be determined. In this paper, we address the case in which the decision maker proposes incompatible thresholds, which could lead to an infeasible problem. We propose an alternative algebraic formulation of the membership functions, which allows us to formulate models capable of providing solutions, although some tolerance thresholds are surpassed. The objective values that do not violate their corresponding threshold are evaluated positively according to the degree of achievement to their fuzzy target, and in turn those who violate the threshold are penalized according to their unwanted deviation with respect to the threshold. Thus, our model jointly uses the fuzzy GP approach and the standard GP approach, which also allows incorporating fuzzy and crisp targets into the same problem. The proposed procedure is applied to socially responsible portfolio selection problems.
Journal of the Operational Research Society, 2017
The aim of this paper is to construct a support decision-making system to evaluate the different ... more The aim of this paper is to construct a support decision-making system to evaluate the different items of corporate social responsibility. For this purpose, we propose a multi-criteria model that runs on two levels of decisionmaking in accordance with the hierarchical structure designed by the Global Reporting Initiative (GRI). Tools for modelling preferences and aggregating information are used in this framework. Arrays of normalized scores reflecting the company performance in the Aspects and Categories of GRI are then made available for the stakeholders. The design of investment portfolios uses the obtained measures of sustainability in an Extended Goal Programming model that combines financial and sustainability objectives. The proposal enables more informed decision-making for investors with social concerns that prefer direct investment and wish to make their own financial decisions. The developed methodology has been applied to 8 Spanish companies, which have been selected for their relevance in the Spanish stock market.
Journal of the Operational Research Society, 2016
Sustainable and responsible (SR) investors have to address two criteria types: both financial one... more Sustainable and responsible (SR) investors have to address two criteria types: both financial ones and those pertaining to sustainability and social responsibility. We present a comfortable tool for SR investors that allow them to express their preferences at two levels: first, by comparing criteria of the same nature, and second, via the comparison between the two superior level criteria (the financial and the SR objectives). Owing to the difficulty involved in determining a precise preference between the conflicting objectives, we address this by goal programming with fuzzy hierarchies (GPFH) modelling. This methodology is a modification of the lexicographic GP approach whereby the relative importance relations among the criteria are modelled by fuzzy relations. The proposed sequential handling for the SR portfolios selection provides information to the investors on the best result they can achieve in regard to their goals. An application to a set of UK-SR mutual funds is presented.
Con el presente trabajo hemos pretendido proporcionar a la Gerencia de un Hospital público datos ... more Con el presente trabajo hemos pretendido proporcionar a la Gerencia de un Hospital público datos numéricos sobre la máxima capacidad operativa de sus servicios quirúrgicos. Estos datos han servido de soporte para la negociación del Contrato de Gestión que debía firmar con las autoridades sanitarias financiadoras de su actividad para el año planificado. Obtenemos la planificación óptima de la actividad quirúrgica aplicando una técnica de Programación Multiobjetivo: la Programación Compromiso, especialmente adecuada para problemas bi-objetivo. The purpose of this study is to analyse the inner coherency of the goals expressed by the Sanitary Authorities, through a Multiobjective Programming technique: Compromise Programming, designing the real performance of surgical services at a local general hospital.
Uploads
Papers by Amelia Bilbao-Terol