Abstract
This paper presents a multicriteria decision support system for selection and management of stocks portfolio. Firstly the system allows a detailed financial and stock market analyses (i.e. common-size statements, financial ratios, ratios of the stock market) and to compute returns and betas of the corresponding stocks from theoretical models (Market Model and Capital Asset Pricing Model-CAPM). Secondly it gives graphs of the evolution of some of the financial and stock market variables. Then, univariate (correlation coefficient r, Kendall’s rank correlation coefficient τ, etc.) and multivariate (Principal Component Analysis) statistical techniques are utilized to aid the analysis of the beta’s stability and the identification of the most significant financial and stock market ratios for the portfolio selection. Finally, both the most important financial/stock market ratios and some qualitative criteria are integrated into two multicriteria decision making methods allowing first to select some attractive stocks and then to determine their proportions in the proposed portfolio. The capabilities of the system are illustrated with recent data provided by the Belgian Stock Exchange.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
References
Alexander, G.J. and W.F. Sharpe (1989) Fundamentals of investments, Prentice-Hall International, Inc., Englewood Cliffs, New Jersey.
Colson, G. and Ch. De Bruyn (1983) An integrated multiobjective portfolio management system, Mathematical and Computer Modelling 12, 10 /11, 1359–1381.
Copeland, Th. E. and J.F. Weston (1983) Financial theory and corporate policy, 2nd edition, Addison-Wesley Publishing Company, New York.
Cosset, J.C., Y. Siskos and C. Zopounidis (1992) Evaluating country risk: A decision support approach, Global Finance Journal, 3 (1), 79–95.
Despotis, D.K. and J. Siskos (1992) Agricultural management using the ADELAIS multiobjective linear programming software: A case application, Theory and Decision 32, 113–131.
Despotis, D.K., D. Yannacopoulos and C. Zopounidis (1990): A review of the UTA multicriteria method and some improvements, Foundations of Computing and Decision Sciences, vol. 15, no 2, 63–76.
Evrard, Y. and R. Zisswiller (1983) The setting of market investors preferences: An exploratory study based on multi-attribute models, Centre d’Enseignement Supérieur des Affaires, Paris.
Hurson, Ch. and C. Zopounidis (1993) Return, risk measures and multicriteria decision support for portfolio selection, Proceedings, 2nd Balkan Conference on Operational Research, Thessaloniki.
Jacquet-Lagrèze, E. and J. Siskos (1982) Assessing a set of additive utility functions for multicriteria decision making: The UTA method, European Journal of Operational Research 10, 151–164.
Jacquillat, B. and B. Solnik (1990) Marchés financiers: Gestion de portefeuille et des risques, deuxième édition, Bordas-Dunod, Paris.
Lee, S.M. and D.L. Chesser (1980) Goal programming for portfolio selection, The Journal of Portfolio Management, spring, 22–26.
Lee, C.F. (1985) Financial analysis and planning: Theory and applications, Addison-Wesley, Reading, Mass.
Markowitz, H.M (1959) Portfolio selection: Efficient diversification of investments, John Wiley, NewYork.
Martel, J.M., N.T. Khoury and M. Bergeron (1988) An application of a multicriteria approach to portfolio comparisons, Journal of the Operational Research Society, vol. 39, no 7, 617–628.
Muhlemann, A.P., A.G. Lockett and A.E. Gear (1978) Portfolio modelling in multiple-criteria situations under uncertainty, Decision Sciences, vol. 9, 612–626.
Nakayama, H., T. Takeguchi and M. Sano (1983) Interactive graphics for portfolio selection, Lecture notes in economics and mathematical systems, in: Hansen, P. (Ed), Essays and Surveys on Multiple Criteria Decision Making, Springer Verlag, Berlin Heidelberg, 209, 280–289.
Rios-Garcia, S. and S. Rio Insura (1983) The portfolio selection problem with multi attributes and multiple criteria, Lecture notes in economics and mathematical systems, in: Hansen, P. (Ed), Essays and Surveys on Multiple Criteria Decision Making, Springer Verlag, Berlin Heidelberg, 209, 317–325.
Ross, S. A (1976) The arbitrage theory of capital asset pricing, Journal of economic theory, vol. 13, 341–360.
Roy, B (1985) Méthodologie multicritère d’aide à la décision, Economica, Paris.
Roy, B. and D. Bouyssou (1993) Aide multicritère à la décision: Méthodes et cas, Economica, Paris.
Saaty,T.L., P.C. Rogers and R. Pell (1980) Portfolio selection through hierarchies, The Journal of Portfolio Management, spring, 16–21.
Sharpe, W.F (1970) Portfolio theory and capital markets, McGraw-Hill, New York.
Siegel, S (1956) Nonparametric statistics for the behavioral sciences, McGraw-Hill, New York.
Siskos, J (1986) Evaluating a system of furniture retail outlets using an interactive ordinal regression method, European Journal of Operational Research 23, 179–193.
Siskos, J. and D.K. Despotis (1989) A DSS oriented method for multiobjective linear programming problems, Decision Support System 5, 47–55.
Siskos, Y., A. Spiridakos and D. Yannacopoulos (1993) MINORA: A multicrteria decision aiding system for discrete alternatives, Journal of Information Science and Technology, in: Siskos, Y. and Zopounidis, C. (Eds), Special Issue on Multicriteria Decision Support Systems, vol. 2, no 2, 136–149.
Siskos, J. and C. Zopounidis (1987) The evaluation criteria of the venture capital investment activity:An interactive assessment, European Journal of Operational Research 31, 304–313.
Siskos, Y. and C. Zopounidis (1993) Multicriteria decision support systems: Editorial, Journal of Information Science and Technology, Special Issue, vol. 2, no 2, 107–108.
Siskos, Y., C. Zopounidis and A. Pouliezos (1994) An integrated DSS for financing firms by an industrial development bank in Greece, Decision Support System, in press.
Spronk, J (1981) Interactive multiple goal programming: Applications to financial planning, Martinus Nijhoff Publishing, Boston.
Spyridakos, A. and D. Yannacopoulos (1994) A visual approach to the procedures of multicriteria intelligence decision aiding systems, in: Janssen, J., Skiadas, C.H. and Zopounidis, C. (Eds), Advances in Stochastic Modelling and Data Analysis,Kluwer Academic Publishers, Dordrecht, in press.
Szala, A (1990) L’aide à la décision en gestion de portefeuille, Diplôme Supérieur de Recherches Appliquées, Université de Paris Dauphine.
Zeleny, M (1982) Multiple criteria decision making, McGraw-Hill, New York.
Zopounidis, C (1987) A multicriteria decision-making methodology for the evaluation of the risk of failure and an application, Foundations of Control Engineering, vol. 12, no 1, 45–67
Zopounidis, C (1993) On the use of the MINORA decision aiding system to portfolio selection and management, Journal of Information Science and Technology, in: Siskos Y. and Zopounidis, C. (Eds), Special Issue on Multicriteria Decision Support Systems, vol. 2, no 2, 150–156.
Zopounidis, C., A. Pouliezos and D. Yannacopoulos (1992) Designing a DSS for the assessment of company performance and viability, Computer Science in Economics and Management 5, 41–56.
Zopounidis, C., D.K. Despotis and I. Kamaratou (1993) Portfolio selection using the ADELAIS multiobjective linear programming system, DSS laboratory, Working Paper no 93–10, Technical University of Crete.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1995 Springer Science+Business Media Dordrecht
About this chapter
Cite this chapter
Zopounidis, C., Godefroid, M., Hurson, C. (1995). 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. Springer, Dordrecht. https://doi.org/10.1007/978-94-017-0663-6_17
Download citation
DOI: https://doi.org/10.1007/978-94-017-0663-6_17
Publisher Name: Springer, Dordrecht
Print ISBN: 978-90-481-4574-4
Online ISBN: 978-94-017-0663-6
eBook Packages: Springer Book Archive