A PROMETHEE-based approach to portfolio selection problems

被引：102

作者：

Vetschera, Rudolf ^{[1
]}

de Almeida, Adiel Teixeira ^{[2
]}

机构：

[1] Univ Vienna, A-1210 Vienna, Austria

[2] Univ Fed Pernambuco, BR-50630970 Recife, PE, Brazil

来源：

COMPUTERS & OPERATIONS RESEARCH | 2012年 / 39卷 / 05期

关键词：

Multiattribute decision aid; Outranking; PROMETHEE; Portfolio problems; MULTICRITERIA DECISION AID; MANAGEMENT; METHODOLOGY;

D O I：

10.1016/j.cor.2011.06.019

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this paper, we study the use of PROMETHEE outranking methods for portfolio selection problems. Starting from a new formulation of the PROMETHEE V method, we develop several alternative approaches based on the concepts of boundary portfolios and c-optimal portfolios. The proposed methods are compared in an extensive computational study. Results of these experiments show that methods based on the concept of c-optimal portfolios provide a good approximation to the (often computationally untractable) PROMETHEE ranking of all portfolios, while requiring only small computational effort even for large problems. For smaller problems, a PROMETHEE ranking of all boundary portfolios can be performed and provides a close approximation of the total ranking. (C) 2011 Elsevier Ltd. All rights reserved.

引用

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页码：1010 / 1020

页数：11

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