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Multicriteria preference disaggregation for classification problems with an application to global investing risk

Zopounidis Konstantinos, Doumpos, Michael, Zanakis, Stelios H

Απλή Εγγραφή


URIhttp://purl.tuc.gr/dl/dias/E189E995-1DF3-4D60-BD2A-4432139FC3D4-
Αναγνωριστικόhttps://doi.org/10.1111/j.1540-5915.2001.tb00963.x-
Γλώσσαen-
Μέγεθος54 pagesen
ΤίτλοςMulticriteria preference disaggregation for classification problems with an application to global investing risken
ΔημιουργόςZopounidis Konstantinosen
ΔημιουργόςΖοπουνιδης Κωνσταντινοςel
ΔημιουργόςDoumpos, Michaelen
ΔημιουργόςZanakis, Stelios Hen
ΕκδότηςWileyen
ΠερίληψηMathematical programming and multicriteria approaches to classification and discrimination are reviewed, with an emphasis on preference disaggregation. The latter include the UTADIS family and a new method, Multigroup Hierarchical DIScrimination (MHDIS). They are used to assess investing risk in 51 countries that have stock exchanges, according to 27 criteria. These criteria include quantitative and qualitative measures of market risk (volatility and currency fluctuations); range of investment opportunities; quantity and quality on market information; investor protection (security regulations treatment of minority shareholders); and administrative “headaches” (custody, settlement, and taxes). The model parameters are determined so that the results best match the risk level assigned to those countries by experienced international investment managers commissioned by The Wall Street Journal. Among the six evaluation models developed, one (MHDIS) classifies correctly all countries into the appropriate groups. Thus, this model is able to reproduce consistently the evaluation of the expert investment analysts. The most significant criteria and their weights for assessing global risk investing are also presented, along with their marginal utilities, leading to identifiers of risk groups and global utilities portraying the strength of each country's risk classification. The same method, MHDIS, outperformed the other five methods in a 10-fold validation experiment. en
ΤύποςPeer-Reviewed Journal Publicationen
ΤύποςΔημοσίευση σε Περιοδικό με Κριτέςel
Άδεια Χρήσηςhttp://creativecommons.org/licenses/by/4.0/en
Ημερομηνία2015-10-27-
Ημερομηνία Δημοσίευσης2001-
Θεματική ΚατηγορίαCapability, Financial (Financial literacy)en
Θεματική ΚατηγορίαFinancial capability (Financial literacy)en
Θεματική ΚατηγορίαLiteracy, Financialen
Θεματική Κατηγορίαfinancial literacyen
Θεματική Κατηγορίαcapability financial financial literacyen
Θεματική Κατηγορίαfinancial capability financial literacyen
Θεματική Κατηγορίαliteracy financialen
Βιβλιογραφική ΑναφοράM. Doumpos, S.H. Zanakis , C. Zopounidis ,"Multicriteria preference disaggregation for classification problems with an application to global investing risk," Decision Sc., vol. 32, no 2, pp. 333-385,2001.doi:10.1111/j.1540-5915.2001.tb00963.xen

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