Méthode multicritère de sélection de portefeuilles indiciels internationaux

Khoury, Nabil; Martel, Jean‐Marc; Veilleux, Marc

doi:10.7202/602101ar

Cited by 20 publications

(6 citation statements)

References 10 publications

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“…Szala (1990) performs stock evaluation in collaboration with a French investment company. Khoury et al (1993) use the outranking methods ELECTRE IS and ELECTRE III to select international index portfolios. The purpose of Colson and Zeleny (1979) is to construct an efficient frontier in concordance with the principles of stochastic dominance.…”

Section: Coherent Methodologiesmentioning

confidence: 99%

Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens Stock Exchange

Xidonas

Askounis

2008

Oper Res Int J

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An integrated multiple-criteria methodological framework is proposed to support decisions that concern the selection of common stock portfolios. At the first stage of the methodology, two multiple-criteria methods are employed, within the context of the outranking relations theory, towards the initial appraisal of the stocks that are examined. We then utilize a non-linear optimization model, to generate portfolios that consist of the stocks that are classified as those with the optimal characteristics, during of the first stage. Finally, the portfolios designed at the previous stage are evaluated by using a wide set of well-known sophisticated evaluation criteria. The preferences and experiences of professionals and experts in the field of portfolio management were taken into consideration, through all the stages of the process. The validity of the above methodology is tested through a large scale illustrative application on the stocks that constitute the FTSE-140 index of the Athens Stock Exchange. The advantages of the proposed model against contextual approaches are finally stressed.

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Section: Coherent Methodologiesmentioning

confidence: 99%

Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens Stock Exchange

Xidonas

Askounis

2008

Oper Res Int J

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“…On the other hand, the multidimensional nature of the problem has been emphasized by researchers such as Jacquillat (1972), Bell and Raiffa (1988), Khoury et al (1993), and Spronk and Hallerbach (1997). During the portfolio evaluation, decision makers face several criteria including return criterion, risk criterion, liquidity criterion and size criteria.…”

Section: Portfolio Selection Problemsmentioning

confidence: 98%

A survey of recent developments in multiobjective optimization

2007

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Multiobjective Optimization (MO) has many applications in such fields as the Internet, finance, biomedicine, management science, game theory and engineering. However, solving MO problems is not an easy task. Searching for all Pareto optimal solutions is expensive and a time consuming process because there are usually exponentially large (or infinite) Pareto optimal solutions. Even for simple problems determining whether a point belongs to the Pareto set is N P-hard. In this paper, we discuss recent developments in MO. These include optimality conditions, applications, global optimization techniques, the new concept of epsilon Pareto optimal solution, and heuristics.

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“…Dans le contexte de la sélection de portefeuilles de projets dans le secteur public, Huang et al [HCC08] ont proposé une méthode basée sur AHP alliée à la logique floue, qu'ils ont appliquée à la sélection de projets à financement public. Enfin, Khoury et al ont appliqué la méthode Electre Tri, dans [KMV93], pour le choix de portefeuilles de projets d'investissement.…”

Section: La Spp Comme Un Problème De Triunclassified

Project Portfolio Management

Braue¹

2010

Project Management Theory and Practice

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HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L'archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d'enseignement et de recherche français ou étrangers, des laboratoires publics ou privés. Copyright Management de portefeuilles de projets

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Méthode multicritère de sélection de portefeuilles indiciels internationaux

Cited by 20 publications

References 10 publications

Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens Stock Exchange

Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens Stock Exchange

A survey of recent developments in multiobjective optimization

Project Portfolio Management

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