Skip to main content
SpringerLink
Log in

Multicriteria Decision Aid/Analysis in Finance

  • Chapter
Multiple Criteria Decision Analysis

Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 233))

Abstract

Over the past decades the complexity of financial decisions has increased rapidly, thus highlighting the importance of developing and implementing sophisticated and efficient quantitative analysis techniques for supporting and aiding financial decision making. Multicriteria decision aid (MCDA), an advanced branch of operations research, provides financial decision makers and analysts with a wide range of methodologies well-suited for the complexity of modern financial decision making. The aim of this chapter is to provide an in-depth presentation of the contributions of MCDA in finance focusing on the methods used, applications, computation, and directions for future research.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 349.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 449.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 449.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Notes

  1. 1.

    The underlying assumptions must be validated and the effectiveness and efficiency of the actions taken must be evaluated systematically. The latter calls for a sophisticated performance evaluation process that explicitly acknowledges the role of learning.

  2. 2.

    This section draws heavily on a part of Hallerbach and Spronk [79].

References

  1. Abdelaziz, F.B., Aouni, B., El-Fayedh, R.: Multi-objective stochastic programming for portfolio selection. Eur. J. Oper. Res. 177(3), 1811–1823 (2007)

    Article  Google Scholar 

  2. Albadvi, A., Chaharsooghi, S.K., Esfahanipour, A.: Decision making in stock trading: an application of PROMETHEE. Eur. J. Oper. Res. 177(2), 673–683 (2007)

    Article  Google Scholar 

  3. Amiri, M., Zandieh, M., Vahdani, B., Soltani, R., Roshanaei, V.: An integrated eigenvector-DEA-TOPSIS methodology for portfolio risk evaluation in the FOREX spot market. Expert Syst. Appl. 37(1), 509–516 (2010)

    Article  Google Scholar 

  4. Anagnostopoulos, K.P., Mamanis, G.: A portfolio optimization model with three objectives and discrete variables. Comput. Oper. Res. 37, 1285–1297 (2010)

    Article  Google Scholar 

  5. Anastassiou, Th., Zopounidis, C.: Country risk assessment: a multicriteria analysis approach. J. Euro-Asian Manag. 3(1), 51–73 (1997)

    Google Scholar 

  6. Andenmatten, A.: Evaluation du Risque de Défaillance des Emetteurs d’Obligations: Une Approche par l’Aide Multicritère à la Décision. Presses Polytechniques et Universitaires Romandes (1995)

    Google Scholar 

  7. Angelou, G.N., Economides, A.A.: A compound real option and AHP methodology for evaluating ICT business alternatives. Telematics Inform. 26(4), 353–374 (2009)

    Article  Google Scholar 

  8. Ashford, R.W., Berry, R.H., Dyson, R.G.: Operational research and financial management. Eur. J. Oper. Res. 36(2), 143–152 (1988)

    Article  Google Scholar 

  9. Aznar, J., Guijarro, F., Moreno-Jimenez, J.: Mixed valuation methods: a combined AHP-GP procedure for individual and group multicriteria agricultural valuation. Ann. Oper. Res. 190, 221–238 (2011)

    Article  Google Scholar 

  10. Babalos, V., Philippas, N., Doumpos, M., Zopounidis, C.: Mutual funds performance appraisal using stochastic multicriteria acceptability analysis. Appl. Math. Comput. 218(9), 5693–5703 (2012)

    Google Scholar 

  11. Babic, Z., Plazibat, N.: Ranking of enterprises based on multicriteria analysis. Int. J. Prod. Econ. 56–57, 29–35 (1998)

    Article  Google Scholar 

  12. Ballestero, E., Günther, E., Pla-Santamaria, D., Stummer, C.: Portfolio selection under strict uncertainty: a multi-criteria methodology and its application to the Frankfurt and Vienna stock exchanges. Eur. J. Oper. Res. 181(3), 1476–1487 (2007)

    Article  Google Scholar 

  13. Ballestero, E., Bravo, M., Perez-Gladish, B., Arenas-Parra, M., Plà-Santamaría, D.: Socially responsible investment: a multicriteria approach to portfolio selection combining ethical and financial objectives. Eur. J. Oper. Res. 216(2), 497–494 (2012)

    Article  Google Scholar 

  14. Bana e Costa, C.A., Soares, J.O.: Multicriteria approaches for portfolio selection: an overview. Rev. Financ. Mark. 4(1), 19–26 (2001)

    Google Scholar 

  15. Bana e Costa, C.A., Soares, J.O.: A multicriteria model for portfolio management. Eur. J. Financ. 10(3), 198–211 (2004)

    Google Scholar 

  16. Bana e Costa, C.A., Vansnick, J.C.: MACBETH: an interactive path towards the construction of cardinal value functions. Int. Trans. Oper. Res. 1, 489–500 (1994)

    Google Scholar 

  17. Bana e Costa, C.A., Barroso, L., Soares, J.O.: Qualitative modelling of credit scoring: a case study in banking. J. Eur. Res. Stud 5(1–2), 37–51 (2002)

    Google Scholar 

  18. Baourakis, G., Doumpos, M., Kalogeras, N., Zopounidis, C.: Multicriteria analysis and assessment of financial viability of agri-businesses: the case of marketing co-operatives and juice producing companies. Agribusiness 18(4), 543–558 (2002)

    Article  Google Scholar 

  19. Beim, G., Lévesque, M.: Country selection for new business venturing: a multiple criteria decision analysis. Long Range Plan. 39(3), 265–293 (2006)

    Article  Google Scholar 

  20. Bergeron, M., Martel, J.M., Twarabimenye, P.: The evaluation of corporate loan applications based on the MCDA. J. Euro-Asian Manag. 2(2), 16–46 (1996)

    Google Scholar 

  21. Beuthe, M., Eeckhoudt, L., Scannella, G.: A practical multicriteria methodology for assessing risk public investments. Soc. Econ. Plan. Sci. 34, 121–139 (2000)

    Article  Google Scholar 

  22. Bhaskar, K.: A multiple objective approach to capital budgeting. Account. Bus. Res. 10, 25–46 (1979)

    Article  Google Scholar 

  23. Bhaskar, K., McNamee, P.: Multiple objectives in accounting and finance. J. Bus. Financ. Account. 10(4), 595–621 (1983)

    Article  Google Scholar 

  24. Biggiero, L., Iazzolino, G., Laise, D.: Financial performance measurement: a multicriteria methodology. J. Financ. Decis. Mak. 1(2), 37–55 (2005)

    Google Scholar 

  25. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81(3), 637–659 (1973)

    Article  Google Scholar 

  26. Bodie, Z., Merton, R.C.: Finance. Prentice-Hall, Upper Saddle River (2000)

    Google Scholar 

  27. Bollerslev, T.: Financial econometrics: past developments and future challenges. J. Econom. 100, 41–51 (2001)

    Article  Google Scholar 

  28. Brans, J.P., Vincke, Ph.: A preference ranking organization method. Manag. Sci. 31(6), 647–656 (1985)

    Article  Google Scholar 

  29. Briec, W., Kerstens, K.: Portfolio selection in multidimensional general and partial moment space. J. Econ. Dyn. Control. 34(4), 636–656 (2010)

    Article  Google Scholar 

  30. Buchanan, J., Sheppard, Ph., Vanderpooten, D.: Project ranking using Electre III. Department of Management Systems, Research Report Series 1999–01 (1999)

    Google Scholar 

  31. Bugera, V., Konno, H., Uryasev, S.: Credit cards scoring with quadratic utility functions. J. Multi-Criteria Decis. Anal. 11(4–5), 197–211 (2002)

    Article  Google Scholar 

  32. Capotorti, A., Barbanera, E.: Credit scoring analysis using a fuzzy probabilistic rough set model. Comput. Stat. Data Anal. 56(4), 981–994 (2012)

    Article  Google Scholar 

  33. Chan, Y., DiSalvo, J.P., Garrambone, M.W.: A goal-seeking approach to capital budgeting. Soc. Econ. Plan. Sci. 39(2), 165–182 (2005)

    Article  Google Scholar 

  34. Cohen, S., Doumpos, M., Neophytou, E., Zopounidis, C.: Assessing financial distress where bankruptcy is not an option: an alternative approach for local municipalities. Eur. J. Oper. Res. 218(1), 270–279 (2012)

    Article  Google Scholar 

  35. Colasse, B.: Gestion Financière de l’Entreprise. Presses Universitaires de France, Paris (1993)

    Google Scholar 

  36. Colson, G., DeBruyn, Ch.: An integrated multiobjective portfolio management system. Math. Comput. Model. 12(10–11), 1359–1381 (1989)

    Article  Google Scholar 

  37. Colson, G., Mbangala, M.: Evaluation multicritère d’entreprises publiques du rail. FINECO 8(1), 45–72 (1998)

    Google Scholar 

  38. Cook, W.D., Hebner, K.J.: A multicriteria approach to country risk evaluation: with an example employing Japanese data. Int. Rev. Econ. Financ. 2(4), 327–438 (1993)

    Article  Google Scholar 

  39. Cosset, J.C., Siskos, Y., Zopounidis, C.: Evaluating country risk: a decision support approach. Glob. Financ. J. 3(1), 79–95 (1992)

    Article  Google Scholar 

  40. Cundrič, A., Kern, T., Rajkovič, V.: A qualitative model for road investment appraisal. Transp. Policy 15(4), 225–231 (2008)

    Article  Google Scholar 

  41. Danila, N.: Méthodologie d’ Aide à la Décision Dans le Cas d’ Investissements Fort Dépendants. Thèse de Doctorat de 3e Cycle, UER Sciences des Organisations, Université de Paris–Dauphine (1980)

    Google Scholar 

  42. De Smet, Y., Guzmán, L.M.: Towards multicriteria clustering: an extension of the k-means algorithm. Eur. J. Oper. Res. 58(2), 390–398 (2004)

    Article  Google Scholar 

  43. Derman, E.: Model risk. Risk 9(5), 34–37 (1996)

    Google Scholar 

  44. Derman, E.: Valuing models and modelling value. J. Portf. Manag. 22(Spring), 106–114 (1996)

    Article  Google Scholar 

  45. Diakoulaki, D., Mavrotas, G., Papagyannakis, L.: A multicriteria approach for evaluating the performance of industrial firms. Omega 20(4), 467–474 (1992)

    Article  Google Scholar 

  46. Dimitras, A.I., Zopounidis, C., Hurson, C.: A multicriteria decision aid method for the assessment of business failure risk. Found. Comput. Decis. Sci. 20(2), 99–112 (1995)

    Google Scholar 

  47. Dimitras, A.I., Zanakis, S.H., Zopounidis, C.: A survey of business failures with an emphasis on prediction methods and industrial applications. Eur. J. Oper. Res. 90(3), 487–513 (1996)

    Article  Google Scholar 

  48. Dimitras, A.I., Slowinski, R., Susmaga, R., Zopounidis, C.: Business failure prediction using rough sets. Eur. J. Oper. Res. 114(2), 263–280 (1999)

    Article  Google Scholar 

  49. Dominiak, C.: Portfolio selection using the idea of reference solution. In: Fandel, G., Gal, T. (eds.) Lecture Notes in Economics and Mathematical Systems, vol. 448, pp. 593–602. Springer, Berlin (1997)

    Google Scholar 

  50. Doumpos, M.: Learning non-monotonic additive value functions for multicriteria decision making. OR Spectr. 34(1), 89–106 (2012)

    Article  Google Scholar 

  51. Doumpos, M., Pasiouras, F.: Developing and testing models for replicating credit ratings: a multicriteria approach. Comput. Econ. 25(4), 327–341 (2005)

    Article  Google Scholar 

  52. Doumpos, M., Zopounidis, C.: A multicriteria discrimination method for the prediction of financial distress: the case of Greece. Multinational Financ. J. 3(2), 71–101 (1999)

    Article  Google Scholar 

  53. Doumpos, M., Zopounidis, C.: Assessing financial risks using a multicriteria sorting procedure: the case of country risk assessment. Omega 29(1), 97–109 (2000)

    Article  Google Scholar 

  54. Doumpos, M., Zopounidis, C.: Multicriteria Decision Aid Classification Methods. Kluwer, Dordrecht (2002)

    Google Scholar 

  55. Doumpos, M., Zopounidis, C.: Regularized estimation for preference disaggregation in multiple criteria decision making. Comput. Optim. Appl. 38, 61–80 (2007)

    Article  Google Scholar 

  56. Doumpos, M., Zopounidis, C.: A multicriteria decision support system for bank rating. Decis. Support. Syst. 50(1), 55–63 (2010)

    Article  Google Scholar 

  57. Doumpos, M., Zopounidis, C.: A multicriteria outranking modeling approach for credit rating. Decis. Sci. 42(3), 721–742 (2011)

    Article  Google Scholar 

  58. Doumpos, M., Zopounidis, C., Pardalos, P.M.: Multicriteria sorting methodology: application to financial decision problems. Parallel Algorithm. Appl. 15(1–2), 113–129 (2000)

    Article  Google Scholar 

  59. Doumpos, M., Zanakis, S.H., Zopounidis, C.: Multicriteria preference disaggregation for classification problems with an application to global investing risk. Decis. Sci. 32(2), 333–385 (2001)

    Article  Google Scholar 

  60. Doumpos, M., Pentaraki, K., Zopounidis, C., Agorastos, C.: Assessing country risk using a multi-group discrimination method: a comparative analysis. Manag. Financ. 27, 16–34 (2001)

    Google Scholar 

  61. Doumpos, M., Kosmidou, K., Baourakis, G., Zopounidis, C.: Credit risk assessment using a multicriteria hierarchical discrimination approach: a comparative analysis. Eur. J. Oper. Res. 138(2), 392–412 (2002)

    Article  Google Scholar 

  62. Ehrgott, M., Klamroth, K., Schwehm, C.: An MCDM approach to portfolio optimization. Eur. J. Oper. Res. 155(3), 752–770 (2004)

    Article  Google Scholar 

  63. Elton, E.J., Gruber, M.J., Brown, S.J., Goetzmann, W.N.: Modern Portfolio Theory and Investment Analysis, 8th edn. Wiley, New York (2010)

    Google Scholar 

  64. Evrard, Y., Zisswiller, R.: Une analyse des décisions d’investissement fondée sur les modèles de choix multi-attributs. Finance 3(1), 51–68 (1982)

    Google Scholar 

  65. Fama, E.F., Miller, M.H.: The Theory of Finance. Dryden Press, Hinsdale (1972)

    Google Scholar 

  66. Gaganis, C., Pasiouras, F., Doumpos, M., Zopounidis, C.: Modelling banking sector stability with multicriteria approaches. Optim. Lett. 4(4), 543–558 (2010)

    Article  Google Scholar 

  67. Garcìa, F., Guijarro, F., Moya, I.: Ranking Spanish savings banks: A multicriteria approach. Math. Comput. Model. 52(7–8), 1058–1065 (2010)

    Article  Google Scholar 

  68. García, F., Giménez, V., Guijarro, F.: Credit risk management: A multicriteria approach to assess creditworthiness. Math. Comput. Model. 57(7–8), 2009–2015 (2013)

    Article  Google Scholar 

  69. Gladish, B.P., Jones, D.F., Tamiz, M., Terol, A.B.: An interactive three-stage model for mutual funds portfolio selection. Omega 35(1), 75–88 (2007)

    Article  Google Scholar 

  70. Greco, S., Matarazzo, B., Slowinski, R.: A new rough set approach to evaluation of bankruptcy risk. In: Zopounidis, C. (ed.) Operational Tools in the Management of Financial Risks, pp. 121–136. Kluwer, Dordrecht (1998)

    Chapter  Google Scholar 

  71. Greco, S., Matarazzo, B., Slowinski, R.: Extension of the rough set approach to multicriteria decision support. Inf. Syst. Oper. Res. 38(3), 161–196 (2000)

    Google Scholar 

  72. Greco, S., Matarazzo, B., Slowinski, R.: Rough sets theory for multicriteria decision analysis. Eur. J. Oper. Res. 129, 1–47 (2001)

    Article  Google Scholar 

  73. Greco, S., Mousseau, V., Slowinski, R.: Multiple criteria sorting with a set of additive value functions. Eur. J. Oper. Res. 207(3), 1455–1470 (2010)

    Article  Google Scholar 

  74. Greco, G., Kadzinski, M., Slowinski, R.: Selection of a representative value function in robust multiple criteria sorting. Comput. Oper. Res. 38(11), 1620–1637 (2011)

    Article  Google Scholar 

  75. Grigoroudis, E., Orfanoudaki, E., Zopounidis, C.: Strategic performance measurement in a healthcare organisation: a multiple criteria approach based on balanced scorecard. Omega 40(1), 104–119 (2012)

    Article  Google Scholar 

  76. Gupta, Y.P., Rao, R.P., Bagghi, P.K.: Linear goal programming as an alternative to multivariate discriminant analysis: a note. J. Bus. Financ. Account. 17(4), 593–598 (1990)

    Article  Google Scholar 

  77. Gupta, P., Mehlawat, M.K., Saxena, A.: A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality. Inf. Sci. 180(11), 2264–2285 (2010)

    Article  Google Scholar 

  78. Hababou, M., Martel, J.M.: A multicriteria approach for selecting a portfolio manager. Inf. Syst. Oper. Res. 36(3), 161–176 (1998)

    Google Scholar 

  79. Hallerbach, H.W., Spronk, J.: A multicriteria framework for risk analysis. In: Haimes, Y.Y., Steuer, R.E. (eds.) Lecture Notes in Economics and Mathematical Systems, vol. 487, pp. 272–283. Springer, Berlin (2000)

    Google Scholar 

  80. Hallerbach, W.G., Spronk, J.: A multidimensional framework for financial-economic decisions. J. Multi-Criteria Decis. Anal. 11(3), 111–124 (2002)

    Article  Google Scholar 

  81. Hallerbach, W.G., Spronk, J.: The relevance of MCDM for financial decisions. J. Multi-Criteria Decis. Anal. 11(4–5), 187–195 (2002)

    Article  Google Scholar 

  82. Han, S., Diekmann, J., Lee, Y., Ock, J.: Multicriteria financial portfolio risk management for international projects. J. Construct. Eng. Manag. 130(3), 346–356 (2004)

    Article  Google Scholar 

  83. Hastie, K.L.: A perspective on management education. Financ. Manag. 11(4), 55–62 (1982)

    Article  Google Scholar 

  84. Hirschberger, M., Steuer, R.E., Utz, S., Wimmer, M., Qi, Y.: Computing the nondominated set in tri-criterion portfolio selection. Oper. Res. 61(1), 169–183 (2013)

    Article  Google Scholar 

  85. Ho, W.R.J., Tsai, C.-L., Tzeng, G.-H., Fang, S.-K.: Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM. Expert Syst. Appl. 38(1), 16–25 (2011)

    Article  Google Scholar 

  86. Hogan, K.M., Lipton, A.F., Olson, G.T.: An evaluation of country risk in assessing direct foreign investment. In: Applications of Management Science, pp. 251–276. Emerald, Bingley (2012)

    Google Scholar 

  87. Hsu, Y.-G., Shyu, J.Z., Tzeng, G.-H.: Policy tools on the formation of new biotechnology firms in taiwan. Technovation 25(3), 281–292 (2005)

    Article  Google Scholar 

  88. Hu, Y.-C.: Bankruptcy prediction using ELECTRE-based single-layer perceptron. Neurocomputing 72, 3150–3157 (2009)

    Article  Google Scholar 

  89. Hu, Y.-C., Chen, C.-J.: A PROMETHEE-based classification method using concordance and discordance relations and its application to bankruptcy prediction. Inf. Sci. 181(22), 4959–4968 (2011)

    Article  Google Scholar 

  90. Hull, J.C.: Options, Futures and Other Derivatives. Prentice-Hall, Upper Saddle River (2003)

    Google Scholar 

  91. Hurson, Ch., Ricci, N.: Multicriteria decision making and portfolio management with arbitrage pricing theory. In: Zopounidis, C. (ed.) Operational Tools in The Management of Financial Risks, pp. 31–55. Kluwer, Dordrecht (1998)

    Chapter  Google Scholar 

  92. Hurson, Ch., Zopounidis, C.: On the use of multi-criteria decision aid methods to portfolio selection. J. Euro-Asian Manag. 1(2), 69–94 (1995)

    Google Scholar 

  93. Hurson, Ch., Zopounidis, C.: Gestion de Portefeuille et Analyse Multicritère. Economica, Paris (1997)

    Google Scholar 

  94. Iazzolino, G., Laise, D., Marraro, L.: Business multicriteria performance analysis: a tutorial. Benchmark. Int. J. 19(3), 395–411 (2012)

    Article  Google Scholar 

  95. Ioannidis, C., Pasiouras, F., Zopounidis, C.: Assessing bank soundness with classification techniques. Omega 38(5), 345–357 (2010)

    Article  Google Scholar 

  96. Jablonsky, J.: Multicriteria evaluation of clients in financial houses. Cent. Eur. J. Oper. Res. Econ. 3(2), 257–264 (1993)

    Google Scholar 

  97. Jacquet-Lagrèze, E.: An application of the UTA discriminant model for the evaluation of R & D projects. In: Pardalos, P.M., Siskos, Y., Zopounidis, C. (eds.) Advances in Multicriteria Analysis, pp. 203–211. Kluwer, Dordrecht (1995)

    Chapter  Google Scholar 

  98. Jacquet-Lagrèze, E., Siskos, Y.: Assessing a set of additive utility functions for multicriteria decision making: the UTA method. Eur. J. Oper. Res. 10(2), 151–164 (1982)

    Article  Google Scholar 

  99. Jacquet-Lagrèze, E., Siskos, Y.: Méthodes de Décision Multicritère. Editions Hommes et Techniques, Paris (1983)

    Google Scholar 

  100. Jacquet-Lagrèze, E., Siskos, Y.: Preference disaggregation: twenty years of MCDA experience. Eur. J. Oper. Res. 130(2), 233–245 (2001)

    Article  Google Scholar 

  101. Jarrow, R.A.: Finance Theory. Prentice-Hall, Upper Saddle River (1988)

    Google Scholar 

  102. Jensen, M.C.: Value maximization, stakeholder theory, and the corporate objective function. J. Appl. Corp. Financ. 14(3), 8–21 (2001)

    Article  Google Scholar 

  103. Jensen, M.C., Meckling, W.H.: Theory of the firm: managerial behavior, agency costs and ownership structure. J. Financ. Econ. 3, 305–360 (1976)

    Article  Google Scholar 

  104. Jiménez, L.G., Pascual, L.B.: Multicriteria cash-flow modeling and project value-multiples for two-stage project valuation. Int. J. Proj. Manag. 26(2), 185–194 (2008)

    Article  Google Scholar 

  105. Jog, V., Kaliszewski, I., Michalowski, W.: Using attribute trade-off information in investment. J. Multi-Criteria Decis. Anal. 8(4), 189–199 (1999)

    Article  Google Scholar 

  106. Jog, V., Michalowski, W., Slowinski, R., Susmaga, R.: The rough sets analysis and the neural networks classifier: a hybrid approach to predicting stocks’ performance. In: Despotis, D.K., Zopounidis, C. (eds.) Proceedings of the 5th International Meeting of the Decision Sciences Institute. Integrating Technology and Human Decisions: Bridging into the 21st Century, vol. II, pp. 1386–1388. New Technologies Editions, Athens (1999)

    Google Scholar 

  107. Jorion, Ph.: Value at Risk: The Benchmark for Controlling Market Risk. McGraw-Hill, Chicago (2001)

    Google Scholar 

  108. Kalogeras, N., Baourakis, G., Zopounidis, C., van Dijk, G.: Evaluating the financial performance of agri-food firms: a multicriteria decision-aid approach. J. Food Eng. 70(3), 365–371 (2005)

    Article  Google Scholar 

  109. Keeney, R.L., Raiffa, H.: Decisions with Multiple Objectives: Preferences and Value Trade-offs. Cambridge University Press, Cambridge (1993)

    Book  Google Scholar 

  110. Keynes, J.N.: The Scope and Method of Political Economy. Macmillan, London (1891)

    Google Scholar 

  111. Khalil, J., Martel, J.M., Jutras, P.: A multicriterion system for credit risk rating. Gestion 2000: Belg. Manag. Mag. 15(1), 125–146 (2000)

    Google Scholar 

  112. Khoury, N.T., Martel, J.M.: The relationship between risk-return characteristics of mutual funds and their size. Finance 11(2), 67–82 (1990)

    Google Scholar 

  113. Khoury, N.T., Martel, J.M., Veilleux, M.: Méthode multicritère de sélection de portefeuilles indiciels internationaux. L’Actualité Economique, Revue d’Analyse Economique 69(1), 171–190 (1993)

    Google Scholar 

  114. Kivijärvi, H., Tuominen, M.: A decision support system for semistructured strategic decisions: a multi-tool method for evaluating intangible investments. Revue des Systèmes de Décision 1, 353–376 (1992)

    Google Scholar 

  115. Köksalan, M., Özpeynirci, B.S.: An interactive sorting method for additive utility functions. Comput. Oper. Res. 36(9), 2565–2572 (2009)

    Article  Google Scholar 

  116. Konno, H., Yamazaki, H.: Mean-absolute deviation portfolio optimization model and its application to Tokyo stock market. Manag. Sci. 37(1), 519–531 (1991)

    Article  Google Scholar 

  117. Kou, G., Peng, Y., Shi, Y., Wise, M., Xu, W.: Discovering credit cardholders’ behavior by multiple criteria linear programming. Ann. Oper. Res. 135, 261–274 (2005)

    Article  Google Scholar 

  118. Kunsch, P.L.: Advanced operations research techniques in capital budgeting. In: Zopounidis, C., Doumpos, M., Pardalos, P.M. (eds.) Handbook of Financial Engineering, pp. 301–342. Springer, New York (2008)

    Chapter  Google Scholar 

  119. Lee, H., Kwak, W., Han, I.: Developing a business performance evaluation system: an analytic hierarchical model. Eng. Econ. 30(4), 343–357 (1995)

    Article  Google Scholar 

  120. Lee, W.-S., Tzeng, G.-H., Guan, J.-L., Chien, K.-T., Huang, J.-M.: Combined MCDM techniques for exploring stock selection based on Gordon model. Expert Syst. Appl. 36(3), 6421–6430 (2009)

    Article  Google Scholar 

  121. Li, A., Shi, Y., He, J.: Mclp-based methods for improving “bad” catching rate in credit cardholder behavior analysis. Appl. Soft Comput. 8(3), 1259–1265 (2008)

    Article  Google Scholar 

  122. Li, J., Wei, L., Li, G., Xu, W.: An evolution strategy-based multiple kernels multi-criteria programming approach: the case of credit decision making. Decis. Support. Syst. 51(2), 292–298 (2011)

    Article  Google Scholar 

  123. Lo, A.W., Petrov, C., Wierzbicki, M.: It’s 11pm – Do you know where your liquidity is? The mean-variance-liquidity frontier. J. Invest. Manag. 1(1), 55–93 (2003)

    Google Scholar 

  124. Lourenco, J.C., Morton, A., Bana e Costa, C.A.: Probe-a multicriteria decision support system for portfolio robustness evaluation. Decis. Support. Syst. 54(1), 534–550 (2012)

    Google Scholar 

  125. Macharis, C., de Witte, A., Ampe, J.: The multi-actor, multi-criteria analysis methodology (MAMCA) for the evaluation of transport projects: theory and practice. J. Adv. Transp. 43(2), 183–202 (2009)

    Article  Google Scholar 

  126. Mareschal, B., Brans, J.P.: BANKADVISER: an industrial evaluation system. Eur. J. Oper. Res. 54, 318–324 (1991)

    Article  Google Scholar 

  127. Mareschal, B., Mertens, D.: BANKS: a multicriteria PROMETHEE-based decision support system for the evaluation of the international banking sector. Revue des Systèmes de Décision 1(2–3), 175–189 (1992)

    Google Scholar 

  128. Mareschal, B., Mertens, D.: Evaluation multicritère par la méthode multicritère GAIA: Application au secteur de l’assurance en belgique. L’Actualité Economique, Revue d’Analyse Economique 69(1), 206 (1993)

    Google Scholar 

  129. Markowitz, H.: Theories of uncertainty and financial behavior. Econometrica 19, 325–326 (1950)

    Google Scholar 

  130. Markowitz, H.: Portfolio selection. J. Financ. 7, 77–91 (1952)

    Google Scholar 

  131. Markowitz, H.: Portfolio Selection: Efficient Diversification in Investments. Wiley, New York (1959)

    Google Scholar 

  132. Martel, J.M., Zopounidis, C.: Critères multiples et décisions financières. FINECO 8, 1–12 (1998)

    Google Scholar 

  133. Martel, J.M., Khoury, N.T., Bergeron, M.: An application of a multicriteria approach to portfolio comparisons. J. Oper. Res. Soc. 39(7), 617–628 (1988)

    Article  Google Scholar 

  134. Martel, J.M., Khoury, N.T., M’Zali, B.: Comparaison performancetaille des fonds mutuels par une analyse multicritère. L’ Actualité Economique, Revue d’Analyse Economique 67(3), 306–324 (1991)

    Google Scholar 

  135. Mavrotas, G.: Effective implementation of the ε-constraint method in multiobjective programming problems. Appl. Math. Comput. 213(2), 455–465 (2009)

    Google Scholar 

  136. McInnes, J.M., Carleton, W.J.: Theory, models and implementation in financial management. Manag. Sci. 28(9), 957–978 (1982)

    Article  Google Scholar 

  137. Merton, R.C.: Theory of rational option pricing. Bell J. Econ. 4(Spring), 141–183 (1973)

    Article  Google Scholar 

  138. Merton, R.C.: Influence of mathematical models in finance on practice: past, present, and future. Financ. Pract. Educ. 5(1), 7–15 (1995)

    Google Scholar 

  139. Michalopoulos, M., Zopounidis, C., Doumpos, M.: Evaluation des succursales bancaires è l’aide d’une méthode multicritère. FINECO 8(2), 123–136 (1998)

    Google Scholar 

  140. Mikkilä, M., Kolehmainen, T., Pukkala, O.: Multi-attribute assessment of acceptability of operations in the pulp and paper industries. For. Policy Econ. 7(2), 227–243 (2005)

    Article  Google Scholar 

  141. Muzyka, D., Birley, S., Leleux, B.: Trade-offs in the investment decisions of European venture capitalists. J. Bus. Ventur. 11(4), 273–287 (1996)

    Article  Google Scholar 

  142. Oral, M., Chabchoub, H.: An estimation model for replicating the rankings of the world competitiveness report. Int. J. Forecast. 13, 527–537 (1997)

    Article  Google Scholar 

  143. Oral, M., Kettani, O., Cosset, J.C., Daouas, M.: An estimation model for country risk rating. Int. J. Forecast. 8, 583–593 (1992)

    Article  Google Scholar 

  144. Papageorgiou, D., Doumpos, M., Zopounidis, C.: Credit rating systems: regulatory framework and comparative evaluation of existing methods. In: Zopounidis, C., Doumpos, M., Pardalos, P.M. (eds.) Handbook of Financial Engineering, pp. 457–488. Springer, New York (2008)

    Chapter  Google Scholar 

  145. Pardalos, P.M., Michalopoulos, M., Zopounidis, C.: On the use of multicriteria methods for the evaluation of insurance companies in Greece. In: Zopounidis, C. (ed.) New Operational Approaches for Financial Modelling, pp. 271–283. Physica-Verlag, Heidelberg (1997)

    Chapter  Google Scholar 

  146. Pasiouras, F., Gaganis, C., Doumpos, M.: A multicriteria discrimination approach for the credit rating of Asian banks. Ann. Financ. 3, 351–367 (2007)

    Article  Google Scholar 

  147. Pasiouras, F., Tanna, S., Zopounidis, C.: The identification of acquisition targets in the eu banking industry: an application of multicriteria approaches. Int. Rev. Financ. Anal. 16(3), 262–281 (2007)

    Article  Google Scholar 

  148. Pasiouras, C., Gaganis, F., Zopounidis, C.: Multicriteria classification models for the identification of targets and acquirers in the Asian banking sector. Eur. J. Oper. Res. 204(2), 328–335 (2010)

    Article  Google Scholar 

  149. Pawlak, Z.: Rough sets. Int. J. Inf. Comput. Sci. 11, 341–356 (1982)

    Article  Google Scholar 

  150. Pearman, A.D., Mackie, P.J., May, A.D., Simon, D.: The use of multi-criteria techniques to rank highway investment proposals. In: Lockett, A.G., Islei, G. (eds.) Lecture Notes in Economics and Mathematical Systems, vol. 335, pp. 157–165. Springer, Berlin (1989)

    Google Scholar 

  151. Qi, Y., Hirschberger, M., Steuer, R.E.: Dotted representations of mean-variance efficient frontiers and their computation. Inf. Syst. Oper. Res. 1(3), 15–21 (2009)

    Google Scholar 

  152. Ribarovic, Z., Mladineo, N.: Application of multicriterional analysis to the ranking and evaluation of the investment programmes in the ready mixed concrete industry. Eng. Costs Prod. Econ. 12, 367–374 (1987)

    Article  Google Scholar 

  153. Rios-Garcia, S., Rios-Insua, S.: The portfolio problem with multiattributes and multiple criteria. In: Hansen, P. (ed.) Lecture Notes in Economics and Mathematical Systems, vol. 209, pp. 317–325. Springer, Berlin (1983)

    Google Scholar 

  154. Riquelme, H., Rickards, T.: Hybrid conjoint analysis: an estimation probe in new venture decisions. J. Bus. Ventur. 7, 505–518 (1992)

    Article  Google Scholar 

  155. Roll, R.: A critique of the asset pricing theory’s tests. J. Financ. Econ. 4, 129–176 (1977)

    Article  Google Scholar 

  156. Ross, S.A.: Finance. The New Palgrave Finance, pp. 1–34. MacMillan, Hong Kong (1989)

    Google Scholar 

  157. Rousos, E.-P., Lee, B.S.: Multicriteria analysis in shipping investment evaluation. Marit. Policy Manag. 39(4), 423–442 (2012)

    Article  Google Scholar 

  158. Roy, B.: Classement et choix en présence de points de vue multiples: La méthode ELECTRE. Revue Francaise d’Informatique et de Recherche Operationnelle 8, 57–75 (1968)

    Google Scholar 

  159. Roy, B.: The outranking approach and the foundations of ELECTRE methods. Theory Decis. 31(1), 49–73 (1991)

    Article  Google Scholar 

  160. Roy, B.: Multicriteria Methodology for Decision Aiding. Kluwer, Dordrecht (1996)

    Book  Google Scholar 

  161. Roy, B., Bouyssou, D.: Aide Multicritère à la Décision: Méthodes et Cas. Economica, Paris (1993)

    Google Scholar 

  162. Şakar, C., Köksalan, M.: A stochastic programming approach to multicriteria portfolio optimization. J. Glob. Optim. 57(2), 299–314 (2013)

    Article  Google Scholar 

  163. Saaty, T.L., Rogers, P.C., Pell, R.: Portfolio selection through hierarchies. J. Portf. Manag. 6(Spring), 16–21 (1980)

    Article  Google Scholar 

  164. Samaras, G.D., Matsatsinis, N.F., Zopounidis, C.: A multicriteria DSS for stock evaluation using fundamental analysis. Eur. J. Oper. Res. 187(3), 1380–1401 (2008)

    Article  Google Scholar 

  165. Sevastjanov, P., Dymova, L.: Stock screening with use of multiple criteria decision making and optimization. Omega 37, 659–671 (2009)

    Article  Google Scholar 

  166. Shefrin, H.: Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing. Oxford University Press, New York (2002)

    Book  Google Scholar 

  167. Siskos, J., Assimakopoulos, N.: Multicriteria highway planning: a case study. Math. Comput. Model. 12(10–11), 1401–1410 (1989)

    Article  Google Scholar 

  168. Siskos, Y., Grigoroudis, E.: New trends in aggregation-disaggregation approaches. In: Zopounidis, C., Pardalos, P.M. (eds.) Handbook of Multicriteria Analysis, pp. 189–214. Springer, Berlin/Heidelberg (2010)

    Chapter  Google Scholar 

  169. Siskos, Y., Yannacopoulos, D.: UTASTAR: an ordinal regression method for building additive value functions. Investigação Operacional 5(1), 39–53 (1985)

    Google Scholar 

  170. Siskos, J., Zopounidis, C.: The evaluation criteria of the venture capital investment activity: an interactive assessment. Eur. J. Oper. Res. 31(3), 304–313 (1987)

    Article  Google Scholar 

  171. Siskos, Y., Zopounidis, C., Pouliezos, A.: An integrated DSS for financing firms by an industrial development bank in Greece. Decis. Support. Syst. 12, 151–168 (1994)

    Article  Google Scholar 

  172. Slowinski, R., Zopounidis, C.: Application of the rough set approach to evaluation of bankruptcy risk. Int. J. Intell. Syst. Account. Financ. Manag. 4, 27–41 (1995)

    Article  Google Scholar 

  173. Slowinski, R., Zopounidis, C., Dimitras, A.I.: Prediction of company acquisition in Greece by means of the rough set approach. Eur. J. Oper. Res. 100, 1–15 (1997)

    Article  Google Scholar 

  174. Slowinski, R., Zopounidis, C., Dimitras, A.I., Susmaga, R.: Rough set predictor of business failure. In: Ribeiro, R.R., Yager, R.R., Zimmermann, H.J., Kacprzyk, J. (eds.) Soft Computing in Financial Engineering, pp. 402–424. Physica-Verlag, Heidelberg (1999)

    Google Scholar 

  175. Spronk, J., Hallerbach, W.G.: Financial modelling: where to go? With an illustration for portfolio management. Eur. J. Oper. Res. 99(1), 113–125 (1997)

    Google Scholar 

  176. Spronk, J., Vermeulen, E.M.: Comparative performance evaluation under uncertainty. Eur. J. Oper. Res. 150(3), 482–495 (2003)

    Article  Google Scholar 

  177. Srinivasan, V., Bolster, P.J.: An industrial bond rating model based on the analytic hierarchy process. Eur. J. Oper. Res. 48(1), 105–119 (1990)

    Article  Google Scholar 

  178. Srinivasan, V., Kim, Y.H.: Credit granting: a comparative analysis of classification procedures. J. Financ. XLII(3), 665–683 (1987)

    Google Scholar 

  179. Srinivasan, V., Ruparel, B.: CGX: an expert support system for credit granting. Eur. J. Oper. Res. 45, 293–308 (1990)

    Article  Google Scholar 

  180. Steuer, R.E., Na, P.: Multiple criteria decision making combined with finance: a categorized bibliography. Eur. J. Oper. Res. 150(3), 496–515 (2003)

    Article  Google Scholar 

  181. Steuer, R., Qi, Y., Hirschberger, M.: Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection. Ann. Oper. Res. 152, 297–317 (2007)

    Article  Google Scholar 

  182. Szala, A.: L’ aide à la décision en gestion de portefeuille. Diplôme Supérieur de Recherches Appliquées, Université de Paris–Dauphine (1990)

    Google Scholar 

  183. Tang, J.C.S., Espinal, C.G.: A model to assess country risk. Omega 17(4), 363–367 (1989)

    Article  Google Scholar 

  184. Vincke, Ph.: Multicriteria Decision Aid. Wiley, New York (1992)

    Google Scholar 

  185. Voulgaris, F., Doumpos, M., Zopounidis, C.: On the evaluation of Greek industrial SMEs’ performance via multicriteria analysis of financial ratios. Small Bus. Econ. 15, 127–136 (2000)

    Article  Google Scholar 

  186. Vranes, S., Stanojevic, M., Stevanovic, V., Lucin, M.: INVEX: investment advisory expert system. Expert Syst. 13(2), 105–119 (1996)

    Article  Google Scholar 

  187. Wang, T.-C., Lin, Y.-L.: Applying the consistent fuzzy preference relations to select merger strategy for commercial banks in new financial environments. Expert Syst. Appl. 36(3), 7019–7026 (2009)

    Article  Google Scholar 

  188. Xidonas, P., Mavrotas, G.: Multiobjective portfolio optimization with non-convex constraints: evidence from the Eurostoxx 50. Eur. J. Financ. 20(11), 957–977 (2014)

    Article  Google Scholar 

  189. Xidonas, P., Mavrotas, G., Psarras, J.: A multicriteria methodology for equity selection using financial analysis. Comput. Oper. Res. 36(12), 3187–3203 (2009)

    Article  Google Scholar 

  190. Xidonas, P., Mavrotas, G., Krintas, T., Psarras, J., Zopounidis, C.: Multicriteria Portfolio Management. Springer, New York (2012)

    Book  Google Scholar 

  191. Yeh, C.H., Deng, H., Chang, Y.H.: Fuzzy multicriteria analysis for performance evaluation of bus companies. Eur. J. Oper. Res. 126(3), 459–473 (2000)

    Article  Google Scholar 

  192. Yu, L., Wang, S., Lai, K.K.: An intelligent-agent-based fuzzy group decision making model for financial multicriteria decision support: the case of credit scoring. Eur. J. Oper. Res. 195(3), 942–959 (2009)

    Article  Google Scholar 

  193. Zeleny, M.: Multidimensional measure of risk: the prospect ranking vector. In: Zionts, S. (ed.) Lecture Notes in Economics and Mathematical Systems, vol. 155, pp. 529–548. Springer, Heidelberg (1977)

    Google Scholar 

  194. Zmitri, R., Martel, J.M., Dumas, Y.: Un indice multicritère de santé financière pour les succursales bancaires. FINECO 8(2), 107–121 (1998)

    Google Scholar 

  195. Zollinger, M.: L’analyse multicritère et le risque de crédit aux entreprises. Revue Française de Gestion, pp. 56–66. Janvier-Février (1982)

    Google Scholar 

  196. Zopounidis, C.: A multicriteria decision making methodology for the evaluation of the risk of failure and an application. Found. Control Eng. 12(1), 45–67 (1987)

    Google Scholar 

  197. Zopounidis, C.: La Gestion du Capital-Risque. Economica, Paris (1990)

    Google Scholar 

  198. Zopounidis, C.: On the use of the MINORA decision aiding system to portfolio selection and management. J. Inf. Sci. Technol. 2(2), 150–156 (1993)

    Google Scholar 

  199. Zopounidis, C.: Evaluation du Risque de Défaillance de l’ Entreprise: Méthodes et Cas d’Application. Economica, Paris (1995)

    Google Scholar 

  200. Zopounidis, C.: Multicriteria decision aid in financial management. Eur. J. Oper. Res. 119(2), 404–415 (1999)

    Article  Google Scholar 

  201. Zopounidis, C.: Preference disaggregation approach: basic features, examples from financial decision making. In: Floudas, C.A., Pardalos, P.M. (eds.) Encyclopedia of Optimization, vol. IV, pp. 344–357. Kluwer, Dordrecht (2001)

    Google Scholar 

  202. Zopounidis, C., Dimitras, A.I.: Multicriteria Decision Aid Methods for the Prediction of Business Failure. Kluwer, Dordrecht (1998)

    Book  Google Scholar 

  203. Zopounidis, C., Doumpos, M.: A multicriteria decision aid methodology for the assessment of country risk. Eur. Res. Manag. Bus. Econ. 3(3), 13–33 (1997)

    Google Scholar 

  204. Zopounidis, C., Doumpos, M.: Developing a multicriteria decision support system for financial classification problems: the FINCLAS system. Optim. Methods Softw. 8, 277–304 (1998)

    Article  Google Scholar 

  205. Zopounidis, C., Doumpos, M.: A multicriteria decision aid methodology for sorting decision problems: the case of financial distress. Comput. Econ. 14(3), 197–218 (1999)

    Article  Google Scholar 

  206. Zopounidis, C., Doumpos, M.: Building additive utilities for multi-group hierarchical discrimination: the MHDIS method. Optim. Methods Softw. 14(3), 219–240 (2000)

    Article  Google Scholar 

  207. Zopounidis, C., Doumpos, M.: INVESTOR: a decision support system based on multiple criteria for portfolio selection and composition. In: Colorni, A., Paruccini, M., Roy, B. (eds.) A-MCD-A (Aide Multi Critere a la Decision - Multiple Criteria Decision Aiding), pp. 371–381. European Commission Joint Research Centre, Brussels (2000)

    Google Scholar 

  208. Zopounidis, C., Despotis, D.K., Stavropoulou, E.: Multiattribute evaluation of Greek banking performance. Appl. Stoch. Model. Data Anal. 11(1), 97–107 (1995)

    Article  Google Scholar 

  209. Zopounidis, C., Godefroid, M., Hurson, Ch.: Designing a multicriteria decision support system for portfolio selection and management. In: Janssen, J., Skiadas, C.H., Zopounidis, C. (eds.) Advances in Stochastic Modelling and Data Analysis, pp. 261–292. Kluwer, Dordrecht (1995)

    Chapter  Google Scholar 

  210. Zopounidis, C., Matsatsinis, N.F., Doumpos M.: Developing a multicriteria knowledge-based decision support system for the assessment of corporate performance and viability: the FINEVA system. Fuzzy Econ. Rev. 1(2), 35–53 (1996)

    Google Scholar 

  211. Zopounidis, C., Doumpos, M., Zanakis, S.H.: Stock evaluation using a preference disaggregation methodology. Decis. Sci. 30(2), 313–336 (1999)

    Article  Google Scholar 

  212. Zopounidis, C., Galariotis, E., Doumpos, M., Sarri, S., Andriosopoulos, K.: Multiple criteria decision aiding for finance: An updated bibliographic survey, European Journal of Operational Research, 247(2), 339–348 (2015)

    Article  Google Scholar 

Download references

Acknowledgements

The authors wish to thank Winfried Hallerbach by allowing to draw in this text on work co-authored by him (see our list of references).

Author information

Authors and Affiliations

  1. Rotterdam School of Management, Erasmus University Rotterdam, 1738, 3000DR, Rotterdam, The Netherlands

    Jaap Spronk

  2. Department of Finance, University of Georgia, Athens, GA, 30602-6253, USA

    Ralph E. Steuer

  3. Financial Engineering Laboratory, Department of Production Engineering and Management, Technical University of Crete, University Campus, 73100, Chania, Greece

    Constantin Zopounidis

  4. Audencia Nantes School of Management, 8 route de la Jonelire, 44312, Nantes Cedex 3, France

    Constantin Zopounidis

Authors
  1. Jaap Spronk
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Ralph E. Steuer
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Constantin Zopounidis
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Constantin Zopounidis .

Editor information

Editors and Affiliations

  1. Department of Economics and Business; Portsmouth Business School, Operations & Systems Management, University of Catania; University of Portsmouth, Catania; Portsmouth, Italy

    Salvatore Greco

  2. Department of Management Science, Lancaster University, Lancaster, United Kingdom

    Matthias Ehrgott

  3. Universidade de Lisboa, CEG-IST, Instituto Superior Técnico, Lisboa, Portugal

    José Rui Figueira

Rights and permissions

Reprints and permissions

Copyright information

© 2016 Springer Science+Business Media New York

About this chapter

Cite this chapter

Spronk, J., Steuer, R.E., Zopounidis, C. (2016). Multicriteria Decision Aid/Analysis in Finance. In: Greco, S., Ehrgott, M., Figueira, J. (eds) Multiple Criteria Decision Analysis. International Series in Operations Research & Management Science, vol 233. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-3094-4_24

Download citation

Publish with us

Policies and ethics

Search

Navigation