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Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens Stock Exchange

机译：普通股投资组合选择：多准则决策方法并应用于雅典证券交易所

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摘要

An integrated multiple-criteria methodological framework is proposed to support decisions that concern the selection of common stock portfolios. At the first stage of the methodology, two multiple-criteria methods are employed, within the context of the outranking relations theory, towards the initial appraisal of the stocks that are examined. We then utilize a non-linear optimization model, to generate portfolios that consist of the stocks that are classified as those with the optimal characteristics, during of the first stage. Finally, the portfolios designed at the previous stage are evaluated by using a wide set of well-known sophisticated evaluation criteria. The preferences and experiences of professionals and experts in the field of portfolio management were taken into consideration, through all the stages of the process. The validity of the above methodology is tested through a large scale illustrative application on the stocks that constitute the FTSE-140 index of the Athens Stock Exchange. The advantages of the proposed model against contextual approaches are finally stressed.
机译：提出了一个综合的多准则方法框架，以支持涉及普通股投资组合选择的决策。在该方法的第一阶段，在超越关系理论的背景下，采用了两种多准则方法来对所检查的股票进行初始评估。然后，我们使用非线性优化模型来生成投资组合，其中包括在第一阶段中被归类为具有最佳特征的股票。最后，通过使用一系列众所周知的复杂评估标准来评估前一阶段设计的投资组合。在整个过程的各个阶段，都考虑了投资组合管理领域的专业人员和专家的偏好和经验。通过对构成雅典证券交易所FTSE-140指数的股票进行大规模的说明性应用，测试了上述方法的有效性。最后强调了所提出的模型相对于上下文方法的优势。

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