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首页> 外文期刊>International journal of multicriteria decision making >Application of a synergy of MACBETH and MAUT multicriteria methods to portfolio selection in Athens stock exchange
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Application of a synergy of MACBETH and MAUT multicriteria methods to portfolio selection in Athens stock exchange

机译：MACBETH和MAUT多准则方法的协同作用在雅典证券交易所的投资组合选择中的应用

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The MACBETH method consists in aiding a decision analyst to assess a global additive evaluation of a set of actions which are evaluated on multiple criteria. Nevertheless, the weights estimated by this method may not be preferentially independent and constant substitution rates or trade-offs. In order to overcome the legitimacy problem in MACBETH about the assessment of criteria weights an interactive procedure is proposed to explicitly assess tradeoffs between criteria, as it is suggested in multi-attribute utility theory (MAUT). This approach is illustrated in this paper by a real world case study concerning the evaluation of stocks in the Athens stock exchange and the portfolio selection of an investor. In fact, the assessment of the additive value model has been done by combining both MACBETH on a single criterion level and MAUT for the determination of inter-criteria parameters. The monetary value of the selected portfolio has been doubled in a six months investment period.
机译：MACBETH方法包括协助决策分析人员评估对一组行动的全局累加评估，这些行动根据多个标准进行评估。然而，通过这种方法估计的权重可能不是优先独立的，而是恒定的替代率或权衡取舍。为了克服MACBETH中有关标准权重评估的合法性问题，提出了一种交互式程序来明确评估标准之间的权衡，正如多属性效用理论（MAUT）所建议的那样。本文通过有关雅典股票交易所中的股票评估和投资者投资组合选择的真实案例研究说明了这种方法。实际上，通过将单个标准级别的MACBETH和MAUT用于确定标准间参数相结合，已经完成了附加值模型的评估。在六个月的投资期内，所选投资组合的货币价值已经翻了一番。

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