Research Article
Socially Responsible Investment Portfolio Construction with a Double-Screening Mechanism considering Machine Learning Prediction
Table 6
Comparison of the DSSRI-I model and the DSSRI-I (based on other machine learning models).
| Model | Portfolio cardinality C = 15 | Portfolio cardinality C = 16 | Portfolio cardinality C = 17 | AR | SR | ESG | AR | SR | ESG | AR | SR | ESG |
| DSSRI-I | 0.0982 | 0.4930 | 61.9809 | 0.0904 | 0.4701 | 61.8525 | 0.1113 | 0.5517 | 61.9619 | DSSRI-I (ELM) | 0.0274 | 0.2269 | 59.8493 | 0.0446 | 0.2969 | 59.4059 | 0.0525 | 0.3320 | 59.2332 | DSSRI-I (SVR) | 0.0070 | 0.1304 | 58.6909 | 0.0098 | 0.1426 | 58.7900 | 0.0162 | 0.1741 | 58.6922 | DSSRI-I (DNN) | 0.0901 | 0.5623 | 57.8888 | 0.0941 | 0.6063 | 57.5421 | 0.0705 | 0.4730 | 57.6859 | DSSRI-I (LSTM) | 0.0455 | 0.3156 | 59.0560 | 0.0208 | 0.1949 | 58.9020 | 0.0260 | 0.2202 | 58.4004 |
| Model | Portfolio cardinality C = 18 | Portfolio cardinality C = 19 | Portfolio cardinality C = 20 | AR | SR | ESG | AR | SR | ESG | AR | SR | ESG |
| DSSRI-I | 0.0947 | 0.4952 | 61.5369 | 0.0962 | 0.5049 | 61.2844 | 0.0994 | 0.5222 | 60.9385 | DSSRI-I (ELM) | 0.0498 | 0.3241 | 59.2538 | 0.0480 | 0.3193 | 59.0777 | 0.0537 | 0.3501 | 59.4691 | DSSRI-I (SVR) | -0.0026 | 0.0765 | 58.6725 | 0.0052 | 0.1166 | 58.4987 | 0.0158 | 0.1711 | 58.5493 | DSSRI-I (DNN) | 0.0688 | 0.4666 | 57.8780 | 0.0602 | 0.4293 | 57.6697 | 0.0567 | 0.4077 | 57.5114 | DSSRI-I (LSTM) | 0.0388 | 0.2843 | 58.5475 | 0.0247 | 0.2145 | 58.4433 | 0.0567 | 0.3688 | 58.3013 |
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AR = annualized return; SR=Sharpe ratio; ESG = ESG score. The best values are demonstrated with bold font.
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