A multicriteria model for portfolio management

Costa, Carlos A. Bana e; Soares, João Oliveira

doi:10.1080/1351847032000113254

Cited by 56 publications

(7 citation statements)

References 7 publications

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“…Aforementioned multiple objective programming methods have been applied in portfolio selection problem (e.g. Ben Abdelaziz et al 2007;Costa and Soares 2004;Sharma et al 2007, Shing andNagasawa 1999) under some special assumptions (stochastic element, impossibility to express the importance of the criteria, construction of the utility function, trade-offs relations, etc. ).…”

Section: Methodology and Existing Concepts Usable For A Portfolio Selectionmentioning

confidence: 99%

Stock portfolio selection using aspiration level-oriented procedure: real case on the RM-SYSTEM Czech stock exchange

Fiala

Borovička

2021

Cent Eur J Oper Res

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Many approaches have been designed to solve a stock portfolio selection problem. The aim of this paper is to provide a complex supporting tool for a portfolio selection. So, the problem is seen as a multi-objective one. People tend to settle for a reasonably satisfactory rather than an optimal solution which is provided by the existing methods.That means they substitute the goal of reaching specified aspiration levels for the goal of maximization. Developed Aspiration Level-Oriented procedure (ALOP) is based on searching a linear decision space and current solutions are sought by means of an interactive goal programming approach. Such a procedure has significant advantages for investment decision making. The decision space is searched by changes of aspiration levels using problem-solving approaches. Moreover, the approach can be combined with a weight model of preferences. The power of the developed method is demonstrated on a real investment portfolio making on the RM-SYSTEM Czech stock exchange. A stock portfolio process is performed for two most typical investment strategies-dividend-oriented and capital-oriented investor. The essential criteria (objectives) are determined, as well as their importance (according to the investor's preferences). After a decision making procedure, their resulting portfolios are analysed and compared.

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Section: Methodology and Existing Concepts Usable For A Portfolio Selectionmentioning

confidence: 99%

Stock portfolio selection using aspiration level-oriented procedure: real case on the RM-SYSTEM Czech stock exchange

Fiala

Borovička

2021

Cent Eur J Oper Res

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“…The concepts of sustainable evolution or development, which have become the categories of analysis and management of countries, regions and other multiaspect and complex systems (Wallner 1999;Čiegis et al 2009;Hall et al 2010;Todorov, Marinova 2010), probably inherited their constructive philosophy and methodology about these systems' present and future necessity of harmonic interaction from the research of populations' (microorganisms, flora, fauna, etc.) sustainable development possibilities.…”

Section: Development Sustainability -A Direction For the Futurementioning

confidence: 99%

Optimal Portfolio Search Using Efficient Surface and Three-Dimensional Utility Function / Optimalaus Portfelio Parinkimas Panaudojant Efektyviuosius Paviršius Ir Trimatę Naudingumo Funkcija

Rutkauskas

Stasytytė

2011

Technological and Economic Development of Economy

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The concepts of effectiveness, riskness and reliability are three cornerstones which together with utility of investor constitute the base for decisions perception and management logic in order to match the possibilities of investment space with investor's objectives. Risk, which is "a chance or possibility of danger, loss, injury, or other adverse consequences" (The Oxford Modern English Dictionary) or, specifically, in the area of investment management -"the chance that an investment (as a stock or commodity) will lose value" (Webster Dictionary) is the function of risksness of selected assets altogether with skills of a subject to manage the riskness of the analysed object, process, etc. Thus risk is analysed as an interaction of possibilities riskness and abilities of a subject (investor) to manage these possibilities. The paper will reveal a consistent way towards investment possibilities set description, when investment assets possibilities are under uncertainty, what is understood in this paper as under stochasticity. As a possible means of the above mentioned match the authors propose portfolio adequate for investment stochastic nature and present its formation and application principles. This model has broad application possibilities in investing in exchange and capital markets as well as in forming sustainable investment strategies. There are many figures and schemes in the text. This is caused by the consideration that where geometrical drawing can provide a non-false solution, this drawing becomes also a decision search visualization instrument. Reference to this paper should be made as follows: Rutkauskas, A. V.; Stasytytė, V. 2011. Optimal portfolio search using efficient surface and three-dimensional utility function, Technological and Economic Development of Economy 17(2): 291-312. JEL classification: C53, C61, D81, G11, Q01.A. V. Rutkauskas, V. Stasytytė. Optimal portfolio search using efficient surface ...

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“…Early published works using multi-criteria methods for selecting stock portfolios have been proposed by Hababou and Martel (1998), Bouri et al (2002), and Costa and Soares (2004). Hababou and Martel (1998) introduce the multi-criteria method PROMETHEE II to select a portfolio.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Bouri et al (2002) include the investor's attitude to solvency and liquidity solving a stock portfolio problem with a multi-criteria issue, which should be tackled using appropriate techniques. Costa and Soares (2004) present a model to select a portfolio of stocks based on the fund managers' fieldwork results and using direct rating, MACBETH, and optimization techniques. Zopounidis (1999) provides a complete compilation of the contribution of multicriteria analysis in resolving decision problems in the financial field, particularly in real contexts, because-as the author argues-generally, an organization's financial decisions include optimization processes involving several variables and criteria that require a priori methodological frameworks to be resolved.…”

Section: Literature Reviewmentioning

confidence: 99%

AHP–TOPSIS Methodology for Stock Portfolio Investments

Vásquez

Escobar

Manotas-Duque

2021

Risks

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This paper presents a methodology for making decisions in the stock market using the AHP-TOPSIS multi-criteria technique. The problem is related to the stock market’s investment process considering the criteria of liquidity, risk, and profitability. The proposed methodology includes integrating economic and financial theories of investment in equity portfolios with the AHP-TOPSIS multi-criteria technique, which allows for evaluating a finite number of alternatives hierarchically under qualitative and quantitative criteria. The methodology has been tested in a real case of selecting a portfolio of high and medium marketability stocks for the Colombian market from April 2012 to April 2017. The computational results show the importance and efficiency of successfully integrating traditional equity portfolio investment criteria and multi-criteria methodologies to find an appropriate balance between profitability and risk in the investment decision-making process in shares in the Colombian stock market. The proposed methodology could be applied to other emerging markets, similar to Colombia.

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A multicriteria model for portfolio management

Cited by 56 publications

References 7 publications

Stock portfolio selection using aspiration level-oriented procedure: real case on the RM-SYSTEM Czech stock exchange

Stock portfolio selection using aspiration level-oriented procedure: real case on the RM-SYSTEM Czech stock exchange

Optimal Portfolio Search Using Efficient Surface and Three-Dimensional Utility Function / Optimalaus Portfelio Parinkimas Panaudojant Efektyviuosius Paviršius Ir Trimatę Naudingumo Funkcija

AHP–TOPSIS Methodology for Stock Portfolio Investments

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