A MURAME Model for sustainable Portofolio Selection

Abstract

In this thesis we will consider a MURAME model for sustainable criteria of publicly quoted companies. There has been a growing interest in how to incorporate additional criteria beyond risk and return into the portfolio selection process. Our purpose is to describe the topic of Multiple criteria portfolio selection. Starting with a review of conventional portfolio selection to leas into the topic of multiple criteria portfolio selection The criteria that we considered were sustainable, more precisely social, environmental and economic criteria. A Multi Criteria give us the possibility to have flexibility when we choose the aims of the investors and their preferences. The aim of the thesis is to provide a model that can help investors in a choice closer to their idea of sustainability. We will research the data on sustainability reports of public listed companies and then proceed to MURAME analysis using a Matlab code.