Journal of Multidisciplinary Applied Natural Science
Periódico de Acesso Aberto
Scopus CiteScore 2025
2.1
Calculated on 05 May, 2025
SJR 2025
0.25
Powered by scimagojr.com
Periódico de Acesso Aberto
2.1
Calculated on 05 May, 2025
0.25
Powered by scimagojr.com
https://doi.org/10.47352/jmans.2774-3047.381
Werry Febrianti
Novriana Sumarti
Achmad Suryadi Nasution
Andi Fitriawati
Desi Era P Siregar
Yolanda Sari S
This research investigates ESG-constrained mean–variance portfolio optimization by incorporating buy-in threshold constraints using data from the Indonesian stock market. The optimization problem is formulated as a mixed-integer nonlinear programming (MINLP) model, which captures both the discrete investment decisions and the nonlinear nature of risk-return trade-offs. To solve this complex model, the spiral optimization algorithm (SOA) is employed due to its flexibility and efficiency in handling constrained optimization problems. The performance of SOA is benchmarked against other well-known metaheuristic algorithms, namely Particle Swarm Optimization (PSO) and Grey Wolf Optimizer (GWO), using portfolios consisting of 5 and 10 ESG-compliant stocks. Based on the empirical results for 5 stocks, we show that SOA gives the same results with PSO and GWO results. Meanwhile for 10 stocks, SOA gives consistent results than the results of PSO and GWO. Therefore, we conclude that SOA can be used in small number of stocks or extended stocks in solving this ESG-portfolio problems.
[1] G. Zairis, P. Liargovas, and N. Apostolopoulos. (2024). "Sustainable Finance And ESG Importance: A Systematic Literature Review And Research Agenda". Sustainability. 16 (7): 2878. 10.3390/su16072878.
DOI: https://doi.org/10.3390/su16072878[2] S. Kumar, D. Sharma, S. Rao, W. M. Lim, and S. K. Mangla. (2022). "Past, Present, And Future Of Sustainable Finance: Insights From Big Data Analytics Through Machine Learning Of Scholarly Research". Annals Of Operations Research. 1-44. 10.1007/s10479-021-04410-8.
DOI: https://doi.org/10.1007/s10479-021-04410-8[3] H. Bara, T. Sarker, and E. I. Liaw. (2023). "Emerging New Themes In Green Finance: Hundreds Of Thousands Of Years: A Systematic Literature Review". Future Business Journal. 9 (1): 104. 10.1186/s43093-023-00287-0.
DOI: https://doi.org/10.1186/s43093-023-00287-0[4] H. Markowitz. (1952). "Portfolio Selection". The Journal Of Finance. 7 (1): 77-91. 10.2307/2975974.
DOI: https://doi.org/10.1111/j.1540-6261.1952.tb01525.x[5] A. Hilario-Caballero, A. Garcia-Bernabeu, J. V. Salcedo, and M. Vercher. (2020). "Tri-Criterion Model For Constructing Low-Carbon Mutual Fund Portfolios: A Preference-Based Multi-Objective Genetic Algorithm Approach". International Journal of Environmental Research and Public Health. 17 (17): 6324. 10.3390/ijerph17176324.
DOI: https://doi.org/10.3390/ijerph17176324[6] J. Kennedy and R. Eberhart. (1995). "Particle Swarm Optimization". 4 : 1942-1948. 10.1109/ICNN.1995.488968
DOI: https://doi.org/10.1109/ICNN.1995.488968[7] X. S. Yang.(2010). "Engineering Optimization: An Introduction With Metaheuristic Applications". John Wiley & Sons. 10.1002/9780470640425.
DOI: https://doi.org/10.1002/9780470640425[8] Y. Chen and X. Liu. (2023). "Swarm Intelligence For Sustainable Portfolio Optimization Under ESG Criteria". Journal of Cleaner Production. 382 : 135267. 10.1016/j.jclepro.2022.135267.
DOI: https://doi.org/10.1016/j.jclepro.2022.135267[9] A. Varmaz, C. Fieberg, and T. Poddig. (2024). "Portfolio Optimization For Sustainable Investments". Annals Of Operations Research. 341 (2): 1151-1176. 10.1007/s10479-024-06189-w.
DOI: https://doi.org/10.1007/s10479-024-06189-w[10] G. Abate, I. Basile, and P. Ferrari. (2024). "The Integration Of Environmental, Social And Governance Criteria In Portfolio Optimization: An Empirical Analysis". Corporate Social Responsibility And Environmental Management. 31 (3): 2054-2065. 10.1002/csr.2682.
DOI: https://doi.org/10.1002/csr.2682[11] Z. Dou. (2025). "Exploring ESG Investment Strategies: An Analysis Of Theoretical Models And Corporate Implementation". Advances In Economics, Management And Political Sciences. 150 : 63-70. 10.54254/2754-1169/2024.19273.
DOI: https://doi.org/10.54254/2754-1169/2024.19273[12] W. Febrianti, K. A. Sidarto, and N. Sumarti. (2023). "Solving Constrained Mean-Variance Portfolio Optimization Problems Using Spiral Optimization Algorithm". International Journal of Financial Studies. 11 (1): 1. 10.3390/ijfs11010001.
DOI: https://doi.org/10.3390/ijfs11010001[13] K. Tamura and K. Yasuda. (2011). "Spiral Dynamics Inspired Optimization". Journal Of Advanced Computational Intelligence And Intelligent Informatics. 15 (8): 1116-1122. 10.20965/jaciii.2011.p1116.
DOI: https://doi.org/10.20965/jaciii.2011.p1116[14] A. Kania and K. A. Sidarto. (2016). "Solving Mixed Integer Nonlinear Programming Problems Using Spiral Dynamics Optimization Algorithm". 1716 : 020004. 10.1063/1.4942987
DOI: https://doi.org/10.1063/1.4942987[15] M. C. Bartholomew-Biggs and S. J. Kane. (2009). "A Global Optimization Problem In Portfolio Selection". Computational Management Science. 6 : 329-345. 10.1007/s10287-006-0038-4.
DOI: https://doi.org/10.1007/s10287-006-0038-4[16] G. Friede, T. Busch, and A. Bassen. (2015). "ESG And Financial Performance: Aggregated Evidence From More Than 2000 Empirical Studies". Journal Of Sustainable Finance And Investment. 5 (4): 210-233. 10.1080/20430795.2015.1118917.
DOI: https://doi.org/10.1080/20430795.2015.1118917[17] L. H. Pedersen, S. Fitzgibbons, and L. Pomorski. (2021). "Responsible Investing: The ESG-Efficient Frontier". Journal Of Financial Economics. 142 (2): 572-597. 10.1016/j.jfineco.2020.11.001.
DOI: https://doi.org/10.1016/j.jfineco.2020.11.001[18] G. Katadata. (2024). "Calculation Formula Of KESGI".
[19] W. T. Lee and W. K. Wong. (2000). "Statistical Analysis Of Minimum Buy-In Constraints In Optimal Portfolios". Journal Of Financial Economics. 55 (2): 387-410.
[20] H. Konno and R. Yamamoto. (2005). "Mean-Absolute Deviation Portfolio Optimization Model Under Constraints". Computational Management Science. 2 (1): 21-35.
