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A multicriteria model for portfolio management

Bana e Costa, Carlos A. and Soares, Joao Oliveira (2004) A multicriteria model for portfolio management. European Journal of Finance, 10 (3). pp. 198-211. ISSN 1351-847X

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Identification Number: 10.1080/1351847032000113254


The paper presents a new model to support the selection of a portfolio of stocks based on the results of the fieldwork undertaken with fund managers and using direct rating, MACBETH and optimisation techniques. The model consists of defining a benchmark portfolio (in this case, the Dow Jones Eurostoxx50) and scoring its different stocks according to several expected return criteria. Based on this multicriteria value analysis, a procedure is proposed to suggest adjustments to the proportions of the stocks in the portfolio. Finally, the risk of this modified portfolio is taken into consideration in an optimization module that includes constraints concerning the limits of variation for the proportion of each stock.

Item Type: Article
Additional Information: © 2004Taylor & Francis Ltd
Divisions: Management
Subjects: H Social Sciences > HG Finance
Date Deposited: 01 Oct 2008 10:21
Last Modified: 20 Jul 2021 00:46

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