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On the use of multicriteria decision aid methods to portfolio selection

Zopounidis Konstantinos, Hurson, Christian

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URI: http://purl.tuc.gr/dl/dias/CD0AEE08-3EF2-4E36-95CB-934DBC49F526
Year 1995
Type of Item Peer-Reviewed Journal Publication
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Bibliographic Citation Ch. Hurson, C. Zopounidis ," On the use of multicriteria decision aid methods to portfolio selection," The J. of Euro-Asian Manag., vol. 1, no. 2, pp. 69-94,1997.doi:10.1007/978-3-642-60667-0_47 https://doi.org/10.1007/978-3-642-60667-0_47
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Journal Publications in Community School of Production Engineering and Management

Summary

This paper proposes the use of different multicriteria decision aid methods for management of stocks’ portfolios. The ELECTRE TRI (ELimination Et Choix Traduisant la REalit6) method and the MINORA (Multicriteria INteractive Ordinal Regression Analysis) system are used to sort and rank respectively a sample of stocks. Then, the ADELAIS (Aide k la DEcision pour systemes Lineaires multicriteres par Aide a la Structuration des preferences) multiobjective programming system is employed for the constitution of a stocks’ portfolio according to the results obtained by ELECTRE TRI and MINORA. The data used were obtained from the Athens Stock Exchange for the period 1990-91.

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