Socially Responsible Investment Portfolio Construction with a Double-Screening Mechanism considering Machine Learning Prediction

Table 7

Comparison of the DSSRI-II model and the DSSRI-II (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-II	0.0882	0.4575	62.0703	0.0780	0.4188	61.9743	0.1057	0.5339	61.8762
DSSRI-II (ELM)	0.0360	0.2659	59.8217	0.0458	0.3028	59.3619	0.0407	0.2845	59.1623
DSSRI-II (SVR)	0.0110	0.1499	58.5464	0.0130	0.1580	58.9834	0.0212	0.1981	58.7566
DSSRI-II (DNN)	0.0873	0.5465	57.8571	0.1024	0.6361	57.6394	0.0697	0.4616	57.7544
DSSRI-II (LSTM)	0.0537	0.3505	59.1856	0.0298	0.2392	58.7573	0.0268	0.2240	58.6118
Model	Portfolio cardinality C = 18			Portfolio cardinality C = 19			Portfolio cardinality C = 20
	AR	SR	ESG	AR	SR	ESG	AR	SR	ESG
DSSRI-II	0.0856	0.4620	61.6706	0.0905	0.4862	61.2793	0.0887	0.4883	60.8618
DSSRI-II (ELM)	0.0442	0.3002	59.2208	0.0444	0.3031	59.0595	0.0596	0.3728	59.4935
DSSRI-II (SVR)	0.0019	0.1015	58.5811	0.0098	0.1399	58.5797	0.0162	0.1738	58.5194
DSSRI-II (DNN)	0.0677	0.4653	57.8591	0.0698	0.4922	57.8490	0.0565	0.4030	57.4872
DSSRI-II (LSTM)	0.0342	0.2612	58.6037	0.0306	0.2438	58.3080	0.0521	0.3441	58.4704

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