MURAME model: developing a Corporate Sustainability Ranking for portfolio selection

Abstract

In the first chapter of the thesis I propose a general definition of Socially Responsible Investment and ESG criteria by considering their main characteristics. The analysis continues by defining which are the most used strategies in the SRI universe with a brief indication of which are the methods that could fit most the purpose of this paper. The first part concludes in a performance analysis of Socially Responsible Funds, in a historical and merely descriptive perspective, and in a high level description of the SRI current spread in Europe. The second chapter describes in general the Multiple-criteria decision analysis (MCDA) with a deepening on the MURAME model and on the methods from which it derives: the ELECTRE and the PROMETHEE. The last part of the thesis consists in a practical application of the MURAME model to a sample of 50 of the most worldwide capitalized companies in order to develop a corporate sustainability ranking. In the end I have applied two of the chapter one's strategies with the purpose of building up a socially responsible portfolio given the obtained ranking.