Multi-criteria optimal stopping methods applied to the portfolio optimisation problem

Abdelaziz, Fouad Ben; Mallek, Ray Saadaoui

doi:10.1007/s10479-016-2325-y

Cited by 3 publications

(2 citation statements)

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“…We also analyze these methodologies, allowing the portfolio solution problem within a multiple-criteria context, thus extending the mean-variance approach features that have had an impact on portfolio theory. Recently, several works related to multi-criteria methods for investment on stock portfolio selection have been proposed by Pätäri et al (2018), Abdelaziz and Mallek (2018), Alali and Tolga (2019), Galankashi et al (2020), Nguyen et al (2020), andFrej et al (2021). Pätäri et al (2018) compare the efficiency of four MCDM methods identifying the best-performing approach applied to two comprehensive samples of U.S. stocks.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The results show that all evaluated approaches could successfully be applied to the equity portfolio selection problem. Abdelaziz and Mallek (2018) focused on solving the multi-criteria portfolio optimization problem by applying two different models derived from the theory of optimal stopping problems. An interactive method against solution-based algorithms is applied.…”

Section: Literature Reviewmentioning

confidence: 99%

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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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