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首页> 外文期刊>European Journal of Operational Research >Portfolio selection under strict uncertainty: A multi-criteria methodology and its application to the Frankfurt and Vienna Stock Exchanges
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Portfolio selection under strict uncertainty: A multi-criteria methodology and its application to the Frankfurt and Vienna Stock Exchanges

机译：严格不确定性下的投资组合选择：一种多准则方法及其在法兰克福和维也纳证券交易所的应用

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In modern portfolio theory, it is common practice to first compute the risk-reward efficient frontier and then to support an individual investor in selecting a portfolio that meets his/her preferences for profitability and risk. Potential flaws include (a) the assumption that past data provide sufficient evidence for predicting the future performances of the securities under consideration and (b) the necessity to mathematically determine or approximate the investor's utility function. In this paper, we propose a methodology whose initial phase filters portfolios that are inefficient from a historical perspective. While this is consistent with traditional approaches, the second phase differs from the standard approach as it uses a decision table constructed by considering multiple scenarios assuming strict uncertainty. The table cells measure consequences by a multi-criteria linear performance index of simulated future returns, which avoids difficulties with performance ratios. The real world applicability is illustrated through two studies based on data from the stock exchanges in Frankfurt and Vienna. (C) 2006 Elsevier B.V. All rights reserved.
机译：在现代投资组合理论中，通常的做法是首先计算风险回报的有效边界，然后支持个人投资者选择符合其偏好的获利能力和风险的投资组合。潜在的缺陷包括（a）过去的数据为预测所考虑证券的未来表现提供了充分的证据，以及（b）数学上确定或近似投资者的效用函数的必要性。在本文中，我们提出了一种方法，该方法的初始阶段过滤了从历史角度来看效率低下的投资组合。虽然这与传统方法是一致的，但是第二阶段与标准方法不同，因为它使用通过考虑假设严格不确定性的多种情况而构建的决策表。表格单元格通过模拟未来收益的多标准线性绩效指标来衡量结果，从而避免了绩效比率方面的困难。通过两项基于法兰克福和维也纳证券交易所数据的研究，说明了现实世界的适用性。 （C）2006 Elsevier B.V.保留所有权利。

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