A multicriteria model for portfolio management |
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| Authors: | Robert G Tompkins |
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| Institution: | 1. Department of Engineering and Management , Instituto Superior Técnico, Universidade Técnica de Lisboa , Lisboa, Portugal;2. Department of Operational Research , London School of Economics , London, UK;3. Department of Engineering and Management , Instituto Superior Técnico, Universidade Técnica de Lisboa , Lisboa, Portugal |
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| Abstract: | 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. |
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| Keywords: | portfolio management financial markets multicriteria decision analysis |
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