{"id":"https://openalex.org/W3135177792","doi":"https://doi.org/10.1051/ro/2021026","title":"Estimation of portfolio efficiency considering social responsibility: evidence from the multi-horizon diversification DEA","display_name":"Estimation of portfolio efficiency considering social responsibility: evidence from the multi-horizon diversification DEA","publication_year":2021,"publication_date":"2021-02-25","ids":{"openalex":"https://openalex.org/W3135177792","doi":"https://doi.org/10.1051/ro/2021026","mag":"3135177792"},"language":"en","primary_location":{"is_oa":true,"landing_page_url":"https://doi.org/10.1051/ro/2021026","pdf_url":"https://www.rairo-ro.org/articles/ro/pdf/2021/03/ro200227.pdf","source":{"id":"https://openalex.org/S20631277","display_name":"RAIRO - Operations Research","issn_l":"0399-0559","issn":["0399-0559","1290-3868"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319748","host_organization_name":"EDP Sciences","host_organization_lineage":["https://openalex.org/P4310319748"],"host_organization_lineage_names":["EDP Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true},"type":"article","type_crossref":"journal-article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://www.rairo-ro.org/articles/ro/pdf/2021/03/ro200227.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083078981","display_name":"Tiantian Ren","orcid":"https://orcid.org/0000-0001-8964-0503"},"institutions":[{"id":"https://openalex.org/I16609230","display_name":"Hunan University","ror":"https://ror.org/05htk5m33","country_code":"CN","type":"education","lineage":["https://openalex.org/I16609230"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Tiantian Ren","raw_affiliation_strings":["School of Business Administration, Hunan University, Changsha 410082, P.R. China"],"affiliations":[{"raw_affiliation_string":"School of Business Administration, Hunan University, Changsha 410082, P.R. China","institution_ids":["https://openalex.org/I16609230"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5041226312","display_name":"Zhongbao Zhou","orcid":"https://orcid.org/0000-0002-0029-5158"},"institutions":[{"id":"https://openalex.org/I16609230","display_name":"Hunan University","ror":"https://ror.org/05htk5m33","country_code":"CN","type":"education","lineage":["https://openalex.org/I16609230"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Zhongbao Zhou","raw_affiliation_strings":["School of Business Administration, Hunan University, Changsha 410082, P.R. China"],"affiliations":[{"raw_affiliation_string":"School of Business Administration, Hunan University, Changsha 410082, P.R. China","institution_ids":["https://openalex.org/I16609230"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5040264117","display_name":"Helu Xiao","orcid":"https://orcid.org/0000-0002-6485-924X"},"institutions":[{"id":"https://openalex.org/I173759888","display_name":"Hunan Normal University","ror":"https://ror.org/053w1zy07","country_code":"CN","type":"education","lineage":["https://openalex.org/I173759888"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Helu Xiao","raw_affiliation_strings":["School of Business, Hunan Normal University, Changsha 410081, P.R. China"],"affiliations":[{"raw_affiliation_string":"School of Business, Hunan Normal University, Changsha 410081, P.R. China","institution_ids":["https://openalex.org/I173759888"]}]}],"institution_assertions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.115,"has_fulltext":true,"fulltext_origin":"pdf","cited_by_count":7,"citation_normalized_percentile":{"value":0.657428,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":83,"max":84},"biblio":{"volume":"55","issue":"2","first_page":"611","last_page":"637"},"is_retracted":false,"is_paratext":false,"primary_topic":{"id":"https://openalex.org/T10357","display_name":"Efficiency Analysis Using DEA","score":0.9988,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10357","display_name":"Efficiency Analysis Using DEA","score":0.9988,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10438","display_name":"Energy, Environment, Economic Growth","score":0.9966,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10632","display_name":"Housing Market and Economics","score":0.9941,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/socially-responsible-investing","display_name":"Socially responsible investing","score":0.47649616},{"id":"https://openalex.org/keywords/time-horizon","display_name":"Time horizon","score":0.46120778},{"id":"https://openalex.org/keywords/investment","display_name":"Investment","score":0.439188}],"concepts":[{"id":"https://openalex.org/C22088475","wikidata":"https://www.wikidata.org/wiki/Q647974","display_name":"Data envelopment analysis","level":2,"score":0.6401672},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6350286},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.6001785},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.52795994},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.52376527},{"id":"https://openalex.org/C159176650","wikidata":"https://www.wikidata.org/wiki/Q43261","display_name":"Horizon","level":2,"score":0.49112102},{"id":"https://openalex.org/C147598955","wikidata":"https://www.wikidata.org/wiki/Q3427818","display_name":"Social responsibility","level":2,"score":0.48719996},{"id":"https://openalex.org/C2777303722","wikidata":"https://www.wikidata.org/wiki/Q1371297","display_name":"Socially responsible investing","level":3,"score":0.47649616},{"id":"https://openalex.org/C28761237","wikidata":"https://www.wikidata.org/wiki/Q7805321","display_name":"Time horizon","level":2,"score":0.46120778},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.439188},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.41075814},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.358284},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.28474128},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.23231763},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.19556916},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.13914257},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.10214439},{"id":"https://openalex.org/C39389867","wikidata":"https://www.wikidata.org/wiki/Q380767","display_name":"Corporate governance","level":2,"score":0.101119936},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"is_oa":true,"landing_page_url":"https://doi.org/10.1051/ro/2021026","pdf_url":"https://www.rairo-ro.org/articles/ro/pdf/2021/03/ro200227.pdf","source":{"id":"https://openalex.org/S20631277","display_name":"RAIRO - Operations Research","issn_l":"0399-0559","issn":["0399-0559","1290-3868"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319748","host_organization_name":"EDP Sciences","host_organization_lineage":["https://openalex.org/P4310319748"],"host_organization_lineage_names":["EDP Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true},{"is_oa":true,"landing_page_url":"https://www.rairo-ro.org/10.1051/ro/2021026/pdf","pdf_url":"https://www.rairo-ro.org/10.1051/ro/2021026/pdf","source":{"id":"https://openalex.org/S4306400744","display_name":"Springer Link (Chiba Institute of Technology)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I8488066","host_organization_name":"Chiba Institute of Technology","host_organization_lineage":["https://openalex.org/I8488066"],"host_organization_lineage_names":["Chiba Institute of Technology"],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false}],"best_oa_location":{"is_oa":true,"landing_page_url":"https://doi.org/10.1051/ro/2021026","pdf_url":"https://www.rairo-ro.org/articles/ro/pdf/2021/03/ro200227.pdf","source":{"id":"https://openalex.org/S20631277","display_name":"RAIRO - Operations Research","issn_l":"0399-0559","issn":["0399-0559","1290-3868"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319748","host_organization_name":"EDP Sciences","host_organization_lineage":["https://openalex.org/P4310319748"],"host_organization_lineage_names":["EDP Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true},"sustainable_development_goals":[],"grants":[{"funder":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China","award_id":"71771082"},{"funder":"https://openalex.org/F4320322843","funder_display_name":"Natural Science Foundation of\u00a0Hunan Province","award_id":"2020JJ5377"}],"datasets":[],"versions":[],"referenced_works_count":35,"referenced_works":["https://openalex.org/W1984766746","https://openalex.org/W1986811111","https://openalex.org/W1993750010","https://openalex.org/W2005303724","https://openalex.org/W2007106598","https://openalex.org/W2012043068","https://openalex.org/W2023686146","https://openalex.org/W2025313001","https://openalex.org/W2047118926","https://openalex.org/W2049395631","https://openalex.org/W2050362459","https://openalex.org/W2050754794","https://openalex.org/W2050805317","https://openalex.org/W2054337887","https://openalex.org/W2062690962","https://openalex.org/W2066068791","https://openalex.org/W2127532696","https://openalex.org/W2162875624","https://openalex.org/W2172074964","https://openalex.org/W2473825645","https://openalex.org/W2575532994","https://openalex.org/W2586969315","https://openalex.org/W2589590889","https://openalex.org/W2614871094","https://openalex.org/W2732870307","https://openalex.org/W2884817642","https://openalex.org/W2886528124","https://openalex.org/W2905349029","https://openalex.org/W2958060351","https://openalex.org/W2962703930","https://openalex.org/W2966811817","https://openalex.org/W3044499584","https://openalex.org/W3122826114","https://openalex.org/W3124216381","https://openalex.org/W341042280"],"related_works":["https://openalex.org/W4286622840","https://openalex.org/W2906267174","https://openalex.org/W2809608782","https://openalex.org/W2615656344","https://openalex.org/W2536121351","https://openalex.org/W2333245620","https://openalex.org/W2295626654","https://openalex.org/W2013239059","https://openalex.org/W134501823","https://openalex.org/W102249186"],"abstract_inverted_index":{"With":[0],"the":[1,4,17,61,71,80,93,99,113,119,125,141,148,152,157,175,190,200,203,207,213,219,232,235,248,266,274,282,289],"introduction":[2],"of":[3,6,19,36,58,82,96,116,151,161,194,215,250],"concept":[5],"social":[7,88,136,165,184,216,254,267,290],"responsibility":[8,89,137,166,185,217,255,268,291],"investment/green":[9],"investment,":[10,21],"more":[11,13,28,286],"and":[12,33,70,122,135,143,159,164,182,206,210,222,253,277],"investors":[14],"have":[15],"realized":[16],"importance":[18],"such":[20],"which":[22],"has":[23,51,269],"prompted":[24],"portfolio":[25,133,162,220,240,251,275,283],"managers":[26,241,284],"to":[27,67,104,146,198,246,288],"comprehensively":[29],"consider":[30],"both":[31,180],"financial":[32,76],"non-financial":[34,83],"performance":[35,56,249],"portfolios":[37,97,117],"in":[38,55,98,257],"different":[39,258],"time":[40,259],"horizons.":[41,260],"DEA":[42,178],"(Data":[43],"Envelopment":[44],"Analysis),":[45],"as":[46,171],"a":[47,270],"data-driven":[48],"evaluation":[49,57,72],"approach,":[50],"been":[52],"widely":[53],"used":[54],"portfolios.":[59],"However,":[60],"existing":[62],"studies":[63],"are":[64,74,168],"mostly":[65,75],"limited":[66],"single-horizon":[68,208,233],"problems,":[69],"indicators":[73,84,167,256],"indicators,":[77],"while":[78],"ignoring":[79],"impact":[81,214,272],"(":[85],"e.g.":[86],",":[87],"indicators).":[90],"More":[91],"importantly,":[92],"input-output":[94,114],"process":[95,115],"multi-horizon":[100,120,176,204],"framework":[101],"also":[102,263],"needs":[103],"be":[105],"clarified.":[106],"In":[107],"this":[108],"paper,":[109],"we":[110,188,262],"first":[111],"define":[112],"from":[118],"perspective,":[121],"then":[123],"propose":[124],"corresponding":[126],"stochastic":[127,154],"output":[128],"possibility":[129],"sets":[130],"based":[131],"on":[132,218,273],"returns":[134,163,252],"indicators.":[138],"We":[139,173],"use":[140],"expectation":[142],"variance":[144],"measures":[145],"derive":[147],"deterministic":[149],"estimation":[150],"above":[153],"sets,":[155],"where":[156],"expectations":[158],"variances":[160],"all":[169],"regarded":[170],"outputs.":[172],"construct":[174],"diversification":[177],"models":[179,205,237],"with":[181,231,242],"without":[183],"constraints.":[186],"Finally,":[187],"select":[189],"20":[191],"component":[192],"stocks":[193],"China":[195],"ESG100":[196],"index":[197],"illustrate":[199],"difference":[201],"between":[202],"models,":[209,234],"further":[211],"discuss":[212],"efficiency":[221,276],"its":[223,278],"ranking.":[224],"The":[225],"empirical":[226],"results":[227],"show":[228],"that":[229,265],"compared":[230],"proposed":[236],"can":[238],"provide":[239],"an":[243],"improvement":[244],"strategy":[245],"balance":[247],"Further,":[261],"find":[264],"greater":[271],"ranking,":[279],"especially":[280],"when":[281],"pay":[285],"attention":[287],"performance.":[292]},"cited_by_api_url":"https://api.openalex.org/works?filter=cites:W3135177792","counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":5}],"updated_date":"2024-12-07T12:57:21.173392","created_date":"2021-03-15"}