Multiple criteria decision aiding for finance: An updated bibliographic survey

https://epub.uni-regensburg.de/27888/1/preprint12Mar13.pdf

Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

risk. The book is organized into five sections. The first section applies multivariate data and multicriteri a analyses to the problem of portfolio selection. Articles in thi s section combine classical approaches with newer methods. The second section expands the analysis in the firs t section to a variety of financial problems: busin ess failure, corporate performance and viability, bankruptcy, et c. The third section examines the mathematical prog ramming techniques including linear, dynamic, and stochasti c programming to portfolio management's. The fourth section introduces fuzzy set and artificial intelligence te chniques to selected types of financial decisions. The final section explores the contribution of several multic riteria methodologies in the assessment of country financial risk. In total, this book is a systematic examinati on of an emerging methodology for managing financial risk in business.

/pdf/operational-tools-in-the-management-of-financial-risks-4l1urjxsh1.pdf

Operational Tools in the Management of Financial Risks presents an array of new tools drawn from a var iety of research areas, including chaos theory, expert syst ems, fuzzy sets, neural nets, risk analysis, stocha stic programming and multicriteria decision making. Applications cover, but are not limited to, bankruptcy, credit granting, capital budgeting, corporate performance and viability, portfolio selection/management, and country

https://epub.uni-regensburg.de/31634/1/preprint.pdf

Tri-criterion modeling for constructing more-sustainable mutual funds

Financial decision making is involved with a plethora of important issues for individual and institutional investors, managers of firms and organizations, as well as policy makers. The finance theory has adopted the wealth maximization principle, focusing on normative and descriptive approaches often highlighting multiple factors that drive this single goal. Multicriteria decision systems add important practical contributions in this context, supporting financial decision makers in modeling, analyzing, and evaluating multiple ways of action, under all decision criteria pertinent in a specific decision instance. This paper analyzes the relevance of multicriteria decision systems for financial decisions. A detailed discussion and up-to-date review on two important areas of financial decision support, namely portfolio selection and corporate performance evaluation, are also given to highlight how different multicriteria modeling approaches complement and enhance exiting techniques from the areas of finance and operations research.

Multicriteria decision systems for financial problems

The portfolio management process is an integrated set of steps undertaken in a consistent manner to create and maintain an appropriate portfolio (combination of assets) to meet clients’ stated goals (Maginn 2007). The three fundamental elements in managing any business process are planning, execution, and feedback. The same steps form the basis for the portfolio management (PM) process. During the planning step, investment objectives and policies are formulated, capital market expectations are formed, and strategic asset allocations are established. During the execution step, the manager constructs the portfolio and integrates investment strategies with capital market expectations to select specific assets for the portfolio. Finally, during the feedback step, the manager monitors and evaluates the portfolio compared with the plan. Any changes suggested by the feedback must be examined carefully to ensure that they represent long-run considerations. It is profound that the portfolio management process has several dimensions. As will be proved, the framework of multiple criteria decision-making (MCDM) provides a solid methodological basis for resolving the inherent multicriteria nature of this problem.

/pdf/multicriteria-portfolio-management-waovnk83ww.pdf

Multicriteria Portfolio Management

This study extracts two factors related to the variability of Premium/Discount: a behavioural and a fundamental. Evidence is provided to show that by using both factors one can achieve a better understanding of discounts as theories and the Closed End Funds Puzzle support it.

Behavioural and fundamental explanations of discounts on closed end funds: an empirical analysis

Ever since Professor Markowitz introduced his modern portfolio theory (MPT), applications faced numerous constraints. These constraint dictated that professionals adopt either important assumptions or reengineered models. In this chapter, we focus on those elements that drive today’s professional world.

Applied Portfolio Management

In this article, we present a multicriteria methodology for supporting decisions that concern the evaluation of the overall corporate performance of firms, on the basis of financial analysis. The methodology’s key-characteristic is that the firms participate in the evaluation process are categorised in classes, with respect to their corresponding industry. In this way, the huge issue of competition between rival firms is fully taken into consideration, while unreasonable comparisons between them are excluded. Moreover, the crucial importance issue of accounting singularities between business sectors is also strongly taken into account. The evaluation of each class of firms is based on specialised criteria set which correspond to the specific accounting plan each company belongs in. The validity of the proposed methodology is tested through a large scale application on the Athens Stock Exchange. Finally, an elaborate review of the coherent research studies is also provided.

http://academics.epu.ntua.gr/LinkClick.aspx?fileticket=p7txGuh9dHw%3d&tabid=381&mid=1819

Theodore Krintas

Papers

Multicriteria Portfolio Management

Behavioural and fundamental explanations of discounts on closed end funds: an empirical analysis

Applied Portfolio Management

Corporate performance evaluation: a multicriteria methodology and an application on the Athens Stock Exchange