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Portfolio performance and risk-based assessment of the portrait tool

Pendaraki Konstantina, Spanoudakis Nikolaos I.

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URIhttp://purl.tuc.gr/dl/dias/7C394C00-0AFE-4B2C-95E5-8B549280D041-
Identifierhttp://users.isc.tuc.gr/~nispanoudakis/resources/ORIJ_Pendaraki_Spanoudakis_temp.pdf-
Identifierhttps://doi.org/10.1007/s12351-014-0162-9-
Languageen-
TitlePortfolio performance and risk-based assessment of the portrait toolen
CreatorPendaraki Konstantinaen
CreatorSpanoudakis Nikolaos I.en
CreatorΣπανουδάκης Νικόλαος Ι.el
PublisherSpringer Verlagen
Content SummaryIn this paper we evaluate and extend the PORTRAIT tool. PORTRAIT applies an argumentation based methodology for composing fund portfolios. Argumentation allows for combining different contexts and preferences in a way that can be optimized. It allows for defining a set of different investment policy scenarios and supports the investor/portfolio manager in composing efficient portfolios that meet her/his profile. The performance and risk of the constructed portfolios is compared with portfolios based on a traditional performance index under different scenarios. This approach is applied on data of Greek domestic equity mutual funds over the period from January 2006 to December 2011 with positive results. The empirical results of our study showed that argumentation is well suited for this type of applications giving answers to two important questions, i.e. which mutual funds are the most suitable to invest in, and, what portion of the available capital should be invested in each of these funds.en
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Licensehttp://creativecommons.org/licenses/by/4.0/en
Date of Item2015-11-14-
Date of Publication2015-
SubjectDecidingen
SubjectDecision (Psychology)en
SubjectDecision analysisen
SubjectDecision processesen
SubjectMaking decisionsen
SubjectManagement--Decision makingen
SubjectManagement decisionsen
Subjectdecision makingen
Subjectdecidingen
Subjectdecision psychologyen
Subjectdecision analysisen
Subjectdecision processesen
Subjectmaking decisionsen
Subjectmanagement decision makingen
Subjectmanagement decisionsen
Bibliographic CitationK. Pendaraki and N. Spanoudakis, "Portfolio Performance and Risk-based Assessment of the PORTRAIT Tool", International Journal Operational Research, (ORIJ), vol. 15, no. 3, Oct. 2015, pp. 359-378. doi: 10.1007/s12351-014-0162-9en

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