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

AR = annualized return; SR=Sharpe ratio; ESG = ESG score. The best values are demonstrated with bold font.