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Return, risk measures and multicriteria decision support for portfolio selection

Zopounidis Konstantinos, Hurson, Christian

Πλήρης Εγγραφή

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Περίληψη

Risk a basic parameter of portfolio selection and its modelling involves some difficulties. Thus, more and more researchers try to find a solution to this problem proposing other measures than the classic ones used in portfolio selection. On the other hand, Multicriteria Decision Aid has known a big development in recent years and we think that among other advantages. multicriteria decision aid can give a satisfactory answer to the aforementioned problem; especially because it permits distinguishing the loss risk (risk to obtain a return below the expected return) from the gain opportunities (opportunities to obtain a return above the expected return). On this basis the aim of this paper is to propose a new methodology for portfolio selection and management.

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