The paper presents a new model to support the selection of a portfolio of stocks based on the results of the fieldwork undertaken with fund managers and using direct rating, MACBETH and optimisation techniques. The model consists of defining a benchmark portfolio (in this case, the Dow Jones Eurostoxx50) and scoring its different stocks according to several expected return criteria. Based on this multicriteria value analysis, a procedure is proposed to suggest adjustments to the proportions of the stocks in the portfolio. Finally, the risk of this modified portfolio is taken into consideration in an optimization module that includes constraints concerning the limits of variation for the proportion of each stock.portfolio management, financial markets, multicriteria decision analysis,
Managers continually face the task of allocating resources to projects when there is not enough money to fund them all. Portfolio Robustness Evaluation (PROBE) is a multicriteria decision support system developed to help managers to perform that difficult task. This paper presents a PROBE model, developed for an electricity distribution company, to select the best portfolio of projects, subject to budget constraints for different types of projects and various organisational units in multiple time periods. Projects requiring large-scale investments are analysed separately from the small-scale projects. The robustness of the selected portfolio of large-scale projects is analysed in an iterative process where broader uncertainty ranges are considered for the values of the projects, and also when an environmental impact criterion is added to the evaluation model.
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