Financial decision aid using multiple criteria : recent models and applications / Hatem Masri, Blanca Pérez-Gladish, Constantin Zopounidis, editors.

Format:

Book

Contributor:

Masri, Hatem, 1964- editor.

Pérez-Gladish, Blanca, editor.

Zopounidis, Constantin, editor.

Series:

Multiple criteria decision making.

Multiple criteria decision making

Language:

English

Subjects (All):

Finance--Decision making.

Finance.

Investments--Decision making.

Investments.

Multiple criteria decision making.

Physical Description:

xii, 241 pages ; 25 cm.

Place of Publication:

Cham, Switzerland : Springer, [2018]

Summary:

This volume highlights recent applications of multiple-criteria decision-making (MCDM) models in the field of finance. Covering a wide range of MCDM approaches, including multiobjective optimization, goal programming, value-based models, outranking techniques, and fuzzy models, it provides researchers and practitioners with a set of MCDM methodologies and empirical results in areas such as portfolio management, investment appraisal, banking, and corporate finance, among others. The book addresses issues related to problem structuring and modeling, solution techniques, comparative analyses, as well as combinations of MCDM models with other analytical methodologies.

Contents:

Intro; Preface; Acknowledgments; Contents; Multiattribute Assessment of the Financial Performance of Non-life Insurance Companies: Empirical Evidence from Europe; 1 Introduction; 2 Data; 3 Methodology; 3.1 Benefit-of-the-Doubt Approach; 3.2 Metafrontier Analysis; 3.3 Robust Estimation; 4 Results; 4.1 Performance Estimation; 4.2 Explanatory Econometric Analysis; 5 Conclusions and Future Perspectives; References; A DSS for Designing an MCDA Study with Application in Performance Evaluation of Forecasting Models; 1 Introduction; 2 MCDA: A Methodological Framework.

3 Performance Evaluation of Forecasting Models4 Adaptation of MCDA Methodology to Performance Evaluation of Competing Forecasting Models and Its Application; 5 Conclusion; Appendix; References; Interactive Portfolio Optimization Using Mean-Gini Criteria; 1 Introduction; 2 Mean-Gini Model; 3 Interactive Multi-Objective Optimization with Mean-Gini Criteria; 3.1 Interactive Solution Procedure; 3.2 Numerical Illustration; 4 Computational Results and Insights; 4.1 Specification of Utility Function; 4.2 Data and Experimental Design; 4.3 Computational Analysis of Interactive Solution Method.

4.4 Out-of-Sample Performance Analysis4.5 Analysis of Portfolio Allocations of MGO and MGR Model; 5 Conclusions and Future Studies; Appendix 1: Pseudo-Code for Interactive Procedure; Appendix 2: Computational Results; References; A Multi-objective Approach to Multi-period: Portfolio Optimization with Transaction Costs; 1 Introduction; 2 Multi-period Portfolio Selection Literature Review; 3 Formulation of the Multi-period Portfolio Selection Models; 3.1 The Multi-objective Multi-period Portfolio Selection Problem; 3.2 The Minimum Risk Multi-period Portfolio Selection Problem.

3.3 The Maximum Expected Return Multi-period Portfolio Selection Problem3.4 The Risk

Expected Return Trade-Off Multi-period Portfolio Selection Problem; 4 A Goal Programming Approach to the Multi-period Multi-objective Portfolio Optimization Problem; 4.1 A GP Model for the Multi-objective Multi-period Portfolio Selection Problem with 2m Objective Functions; 4.2 A GP Model for the Multi-objective Multi-period Portfolio Selection Problem with Two Objective Functions; 5 Numerical Examples for the Minimum Risk Model; 6 Conclusion; References; Distance Measures for Portfolio Selection.

1 Introduction2 Portfolio Strategies; 2.1 The Markowitz Model and Its Extensions; 2.2 The Index Tracking Model; 3 Distance Measures: Markowitz and Index Tracking; 4 Metaheuristics; 5 Experimental Analysis; 6 Conclusion; References; A Behavioral and Rational Investor Modeling to Explain Subprime Crisis: Multi Agent Systems Simulation in Artificial FinancialMarkets; 1 Introduction; 2 Behavioral Finance and Financial Crisis; 2.1 Investor's Beliefs; 2.2 Investor's Preferences; 2.3 Mimetic Behavior; 3 The Financial Markets and the SMA Approach.

Notes:

Includes bibliographical references.

ISBN:

9783319688756

3319688758

OCLC:

1037092496