IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection

Xidonas, P; Mavrotas, G; Zopounidis, C; Psarras, J

dc.contributor.author	Xidonas, P	en
dc.contributor.author	Mavrotas, G	en
dc.contributor.author	Zopounidis, C	en
dc.contributor.author	Psarras, J	en
dc.date.accessioned	2014-03-01T01:35:54Z
dc.date.available	2014-03-01T01:35:54Z
dc.date.issued	2011	en
dc.identifier.issn	0377-2217	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/21243
dc.subject	Decision support systems	en
dc.subject	Equities	en
dc.subject	Multiobjective mathematical programming	en
dc.subject	Multiple criteria decision making	en
dc.subject	Portfolio construction	en
dc.subject	Portfolio selection	en
dc.subject.classification	Management	en
dc.subject.classification	Operations Research & Management Science	en
dc.subject.other	Equities	en
dc.subject.other	Multiobjective mathematical programming	en
dc.subject.other	Multiple criteria decision making	en
dc.subject.other	Portfolio construction	en
dc.subject.other	Portfolio selection	en
dc.subject.other	Artificial intelligence	en
dc.subject.other	Computer software selection and evaluation	en
dc.subject.other	Decision support systems	en
dc.subject.other	Decision theory	en
dc.subject.other	Mathematical programming	en
dc.subject.other	Multiobjective optimization	en
dc.subject.other	Stochastic models	en
dc.subject.other	Decision making	en
dc.title	IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection	en
heal.type	journalArticle	en
heal.identifier.primary	10.1016/j.ejor.2010.08.028	en
heal.identifier.secondary	http://dx.doi.org/10.1016/j.ejor.2010.08.028	en
heal.language	English	en
heal.publicationDate	2011	en
heal.abstract	A fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria, corresponding to the first two moments of return distributions, namely the expected return and portfolio variance. According to this model and according to most of the portfolio models derived from the stochastic dominance approach, the group of portfolios open to comparisons is divided into two parts: on the one hand there are the efficient portfolios (those that are not dominated by any other portfolio in the group), and on the other, those that are dominated. In other words, these models do not solve for one optimal portfolio, but rather solve for an efficient set of portfolios, among which the investor must choose, given his preference system. One criticism over these models, which has often been addressed both by practitioners and academics, is that they fail to embody the objectives of the decision maker (DM), through the various stages of the decision process. Our purpose in this article is to present an integrated and innovative methodological approach for the construction and selection of equity portfolios, which will take into account the inherent multidimensional nature of the problem, while allowing the DM to incorporate his preferences in the decision process. The proposed approach, which grounds its basis on the field of multiple criteria decision making (MCDM) and more specifically on multiobjective mathematical programming (MMP), is implemented in the IPSSIS (Integrated Portfolio Synthesis and Selection Information System) decision support system (DSS). The validity of the proposed approach is tested through an illustrative application in the Athens Stock Exchange (ASE). (C) 2010 Elsevier B.V. All rights reserved.	en
heal.publisher	ELSEVIER SCIENCE BV	en
heal.journalName	European Journal of Operational Research	en
dc.identifier.doi	10.1016/j.ejor.2010.08.028	en
dc.identifier.isi	ISI:000286853300028	en
dc.identifier.volume	210	en
dc.identifier.issue	2	en
dc.identifier.spage	398	en
dc.identifier.epage	409	en