1,017
Views
60
CrossRef citations to date
0
Altmetric
Original Articles

On the increasing importance of multiple criteria decision aid methods for portfolio selection

, , &

References

  • Abdelaziz, F. B., Aouni, B., & El Fayedh, R. (2007). Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research, 177(3), 1811–1823.10.1016/j.ejor.2005.10.021
  • Abdelaziz, F. B., El Fayedh, R., & Rao, A. (2009). A discrete stochastic goal program for portfolio selection: The case of United Arab Emirates equity market. INFOR, 47(1), 5–13.
  • Abdelaziz, F. B., & Masmoudi, M. (2014). A multiple objective stochastic portfolio selection problem with random Beta. International Transactions in Operational Research, 21(6), 919–933.10.1111/itor.2014.21.issue-6
  • Albadvi, A., Chaharsooghi, S. K., & Esfahanipour, A. (2007). Decision making in stock trading: An application of PROMETHEE. European Journal of Operational Research, 177(2), 673–683.10.1016/j.ejor.2005.11.022
  • Alexander, G. J., & Resnik, B. G. (1985). Using linear and goal programming to immunize bond portfolios. Journal of Banking & Finance, 9(1), 35–54.10.1016/0378-4266(85)90061-5
  • Alimi, A., Zandieh, M., & Amiri, M. (2012). Multi-objective portfolio optimization of mutual funds under downside risk measure using fuzzy theory. International Journal of Industrial Engineering Computations, 3(5), 859–872.10.5267/j.ijiec
  • Al-Shammari, M., & Masri, H. (Eds.). (2015). Multiple criteria decision making in finance, insurance and investment. Berlin: Springer.
  • Amiri, M., Ekhtiari, M., & Yazdani, M. (2011). Nadir compromise programming: A model for optimization of multi-objective portfolio problem. Expert Systems with Applications, 38(6), 7222–7226.10.1016/j.eswa.2010.12.061
  • Ammar, E., & Khalifa, H. A. (2003). Fuzzy portfolio optimization a quadratic programming approach. Chaos, Solitions & Fractals, 18(5), 1045–1054.10.1016/S0960-0779(03)00071-7
  • Aouni B., Colapinto C., & La Torre D. (2014). Financial portfolio management through the goal programming model: Current state-of-the-art. European Journal of Operational Research, 234(2), 536–545.10.1016/j.ejor.2013.09.040
  • Arenas-Parra, M., Bilbao-Terol, A., & Rodríguez-Uria, M.V. (2001). A fuzzy goal programming approach to portfolio selection. European Journal of Operational Research, 133(2), 287–297.10.1016/S0377-2217(00)00298-8
  • Ballestero, E. (1998). Approximating the optimum portfolio for an investor with particular preferences. Journal of the Operational Research Society, 49(9), 998–1000.10.1057/palgrave.jors.2600587
  • Ballestero, E. (2001). Stochastic goal programming: A mean-variance approach. European Journal of Operational Research, 131(3), 476–481.10.1016/S0377-2217(00)00084-9
  • Ballestero, E. (2005). Mean‐semivariance efficient frontier: A downside risk model for portfolio selection. Applied Mathematical Finance, 12(1), 1–15.10.1080/1350486042000254015
  • Ballestero, E., & Romero, C. (1996). Portfolio selection: A compromise programming solution. Journal of the Operational Research Society, 47(11), 1377–1386.10.1057/jors.1996.173
  • Ballestero, E., & García-Bernabeu, A. (2012). Portfolio selection with multiple time horizons: A Mean variance-stochastic goal programming approach. INFOR, 50(3), 106–116.
  • Ballestero, E., & Pla-Santamaría, D. (2003). Portfolio selection on the Madrid exchange: A compromise programming model. International Transactions in Operational Research, 10(1), 33–51.10.1111/itor.2003.10.issue-1
  • Ballestero, E., & Pla-Santamaría, D. (2004). Selecting portfolios for mutual funds. OMEGA, 32(5), 385–394.
  • Ballestero, E., & Pla-Santamaría, D. (2005). Grading the performance of market indicators with utility benchmarks selected from Footsie: A 2000 case study. Applied Economics, 37(18), 2147–2160.10.1080/00036840500278053
  • Ballestero, E., Pérez-Gladish, B., Arenas-Parra, M., & Bilbao-Terol, A. (2009). Selecting portfolios given multiple Eurostoxx-based uncertainty scenarios: A stochastic goal programming approach from fuzzy betas. INFOR, 47(1), 59–70.
  • Ballestero, E., Bravo, M., Pérez-Gladish, B., Arenas-Parra, M., & Pla-Santamaría, D. (2012). Socially responsible investment: A multicriteria approach to portfolio selection combining ethical and financial objectives. European Journal of Operational Research, 216(2), 487–494.10.1016/j.ejor.2011.07.011
  • Ballestero, E., Pérez-Gladish, B., & García-Bernabeu, A. (Eds.). (2015). Socially responsible investment: A multi-criteria decision making approach. Heidelberg: Springer.
  • Bana e Costa CA., & Soares JO. (2004). A multicriteria model for portfolio management. European Journal of Finance, 10(3), 198–211.10.1080/1351847032000113254
  • Bilbao-Terol, A., Pérez-Gladish, B., Arenas-Parra, M., & Rodríguez-Uría, M. V. (2006a). Fuzzy compromise programming for portfolio selection. Applied Mathematics and Computation, 173(1), 251–264.10.1016/j.amc.2005.04.003
  • Bilbao-Terol, A., Pérez-Gladish, B., & Antomil, J. (2006b). Selecting the optimum portfolio using fuzzy compromise programming and Sharpe’s single-index model. Applied Mathematics and Computation, 182(1), 644–664.10.1016/j.amc.2006.04.028
  • Bilbao-Terol, A., Arenas-Parra, M., Jimenez, M., Pérez-Gladish, B., & Rodríguez, M. V. (2006c). An extension of Sharpe’s single-index model: Portfolio selection with expert betas. Journal of the Operational Research Society, 57(12), 1442–1451.10.1057/palgrave.jors.2602133
  • Bilbao-Terol, A., Arenas-Parra, M., & Cañal, V. (2012). Selection of socially responsible portfolios using goal programming and fuzzy technology. Information Sciences, 189, 110–125.10.1016/j.ins.2011.12.001
  • Bilbao-Terol, A., Arenas-Parra, M., Cañal, V., & Bilbao-Terol, C. (2013). Selection of socially responsible portfolios using hedonic prices. Journal of Business Ethics, 115(3), 515–529.10.1007/s10551-012-1411-6
  • Bilbao-Terol, A., Arenas-Parra, M., Cañal, V., & Antomil, J. (2014). Using TOPSIS for assessing the sustainability of government bond funds. Omega, 49, 1–17.10.1016/j.omega.2014.04.005
  • Bilbao-Terol, A., Arenas-Parra, M., Cañal, V., & Jiménez, M. (2016a). A sequential goal programming model with fuzzy hierarchies to sustainable and responsible portfolio selection problem. Journal of the Operational Research Society, 67(10), 1259–1273.10.1057/jors.2016.33
  • Bilbao-Terol, A., Arenas-Parra, M., Cañal, V., & Bilbao-Terol, C. (2016b). Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: A new way of investing into a crisis environment. Annals of Operations Research, 247(2), 549–580.10.1007/s10479-015-1947-9
  • Boswarva, I., & Aouni, B. (2012). Different probability distributions for portfolio selection in the chance constrained compromise programming model. INFOR: Information Systems and Operational Research, 50, 140–146.
  • Bouri, A., Martel, J. M., & Chabchoub, H. (2002). A multi-criterion approach for selecting attractive portfolio. Journal of Multi-Criteria Decision Analysis, 11(4–5), 269–277.10.1002/(ISSN)1099-1360
  • Bravo, M., Pla-Santamaría, D., & García-Bernabeu, A. (2010). Portfolio selection from multiple benchmarks: A goal programming approach to an actual case. Journal of Multi-Criteria Decision Analysis, 17(5–6), 155–166.10.1002/mcda.460
  • Briec, W., Kerstens, K., & Van de Woestyne, I. (2013). Portfolio selection with skewness: A comparison of methods and a generalized one fund result. European Journal of Operational Research, 230, 412–421.10.1016/j.ejor.2013.04.021
  • Cabello, J. M., Ruiz, F., Pérez-Gladish, B., & Méndez, P. (2014a). Interactive socially responsible portfolio selection: An application to the Spanish stock market. INFOR: Information Systems and Operational Research, 53(3), 126–137.
  • Cabello, J. M., Ruiz, F., Pérez-Gladish, B., & Méndez, P. (2014b). Synthetic indicators of mutual funds’ environmental responsibility: An application of the Reference Point Method. European Journal of Operational Research, 236(1), 313–325.10.1016/j.ejor.2013.11.031
  • Calvo, C., Ivorra, C., & Liern, V. (2012). On the computation of the efficient frontier of the portfolio selection problem. Journal of Applied Mathematics, 2012, 1–25.10.1155/2012/105616
  • Calvo, C., Ivorra, C., & Liern, V. (2015). Finding socially responsible portfolios close to conventional ones. International Review of Financial Analysis, 40, 52–63.10.1016/j.irfa.2015.03.014
  • Calvo, C., Ivorra, C., & Liern, V. (2016). Fuzzy portfolio selection with non-financial goals: Exploring the efficient frontier. Annals of Operations Research, 245(1-2), 31–46.10.1007/s10479-014-1561-2
  • Calvo, C., Ivorra, C., & Liern, V. (2017). Controlling risk through diversification in portfolio selection with non-historical information. Journal of the Operational Research Society. (in press). doi:10.1057/s41274-017-0195-6
  • Chen, L. H., & Huang, L. (2009). Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Applications, 36(2), 3720–3727.10.1016/j.eswa.2008.02.027
  • Chen, C. T., & Hung, W. Z. (2009). A new decision-making method for stock portfolio selection based on computing with linguistic assessment. Journal of Applied Mathematics and Decision Sciences, 2009, 1–20.10.1155/2009/897024
  • Cheung, M. T., & Liao, Z. (2009). Investing in real-world equity markets with an AHP-based decision framework. Journal of Decision Systems, 18(2), 149–163.10.3166/jds.18.149-163
  • Chow G. (1995, March–April). Portfolio selection based on return, risk, and relative performance. Financial Analysts Journal, 54–60.10.2469/faj.v51.n2.1881
  • Chunhachinda, P., Dandapani, K., Hamid, S., & Prakash, A.J. (1997). Portfolio selection and skewness: Evidence from international stock markets. Journal of Banking & Finance, 21(2), 143–167.10.1016/S0378-4266(96)00032-5
  • Colson, G., & De Bruyn, C. (1989). An integrated multiobjective portfolio management system. Mathematical and Computer Modelling, 12(10–11), 1359–1381.10.1016/0895-7177(89)90374-9
  • Cooper, W. W., Lelas, V., & Sueyoshi, T. (1997). Goal programming models and their duality relations for use in evaluating security portfolio and regression relations. European Journal of Operational Research, 98(2), 431–443.10.1016/S0377-2217(96)00358-X
  • Davis, R. J., Kat, H. M., & Lu, S. (2009). Fund of hedge funds portfolio selection: A multiple-objective approach. Journal of Derivatives & Hedge Funds, 15(2), 91–115.10.1057/jdhf.2009.1
  • Doumpos, M., Zopounidis, C., & Pardalos, P. M. (2000). Multicriteria sorting methodology: Application to financial decision problems. Parallel Algorithms and Applications, 15(1–2), 113–129.10.1080/01495730008947352
  • Ehrgott, M., Klamroth, K., & Schwehm, C. (2004). An MCDM approach to portfolio optimization. European Journal of Operational Research, 155(3), 752–770.10.1016/S0377-2217(02)00881-0
  • Fama, E. F., & Miller, M. H. (1972). The theory of finance. Hinsdale Ill: Dryden Press.
  • Fasanghari, M., & Montazer, G. A. (2010). Design and implementation of fuzzy expert system for Tehran stock exchange portfolio recommendation. Expert Systems with Applications, 37, 6138–6147.10.1016/j.eswa.2010.02.114
  • García, F., Guijarro, F., & Moya, I. (2013). A multiobjective model for passive portfolio management: An application on the S&P 100 index. Journal of Business Economics and Management, 14(4), 758–775.10.3846/16111699.2012.668859
  • García-Melón, M., Pérez-Gladish, B., Gómez, T., & Méndez, P. (2016). Assessing mutual funds’ corporate social responsibility: A multistakeholder-AHP based methodology. Annals of Operations Research, 244(2), 475–503.10.1007/s10479-016-2132-5
  • Ghahtarani, A., & Najafi, A. A. (2013). Robust goal programming for multi-objective portfolio selection problem. Economic Modelling, 33, 588–592.10.1016/j.econmod.2013.05.006
  • Gupta, P., Mehlawat, M. K., & Saxena, A. (2008). Asset portfolio optimization using fuzzy mathematical programming. Information Sciences, 178(6), 1734–1755.10.1016/j.ins.2007.10.025
  • Gupta, P., Mittal, G., & Mehlawat, M. K. (2013). Multiobjective expected value model for portfolio selection in fuzzy environment. Optimization Letters, 7(8), 1765–1791.10.1007/s11590-012-0521-5
  • Hallerbach, W., & Spronk, J. (2002). The relevance of MCDM for financial decisions. Journal of Multi-Criteria Decision Analysis, 11(4–5), 187–195.10.1002/(ISSN)1099-1360
  • Hasuikea, T., Katagiri, H., & Ishiia, H. (2009). Portfolio selection problems with random fuzzy variable returns. Fuzzy Sets and Systems, 160(18), 2579–2596.10.1016/j.fss.2008.11.010
  • Hasuikea, T., & Katagiri, H. (2013). Robust-based interactive portfolio selection problems with an uncertainty set of returns. Fuzzy Optimization and Decision Making, 12(3), 263–288.10.1007/s10700-013-9157-x
  • Hasuikea, T., & Katagiri, H. (2014). Risk-controlled multiobjective portfolio selection problem using a principle of compromise. Mathematical Problems in Engineering, 2014, 1–7.10.1155/2014/232375
  • Hirschberger, M., Steuer, R. E., Utz, S., Wimmer, M., & Qi, Y. (2013). Computing the nondominated surface in tri-criterion portfolio selection. Operations Research, 61(1), 169–183.10.1287/opre.1120.1140
  • Ho, W. R. J., Tsai, C. L., Tzeng, G. H., & Fang, S. K. (2001). Combined DEMATEL technique with a novel MCDM model for exploring portfolio selection based on CAPM. Expert Systems with Applications, 38(1), 16–25.
  • Huang, J. J., Gwo, G. H., & Ong, C. S. (2006). A novel algorithm for uncertain portfolio selection. Applied Mathematics and Computation, 173(1), 350–359.10.1016/j.amc.2005.04.074
  • Jog, V., Kaliszewski, I., & Michalowski, W. (1999). Using attribute trade-off information in investment. Journal of Multi-Criteria Decision Analysis, 8(4), 189–199.10.1002/(ISSN)1099-1360
  • Kellerer, H., Mansini, R., & Speranza, M. G. (2000). Selecting portfolios with fixed cost and minimum transaction lots. Annals of Operations Research, 99(1/4), 287–304.10.1023/A:1019279918596
  • Khoury, N. T., Martel, J. M., & Veilleux, M. (1993). Méthode multicritère de selection de portefeuilles indiciels internationaux. L’Actualité Economique Revue d’Analyse Economique, 69(1), 171–190.
  • Kiris, S., & Ustun, O. (2012). An integrated approach for stock evaluation and portfolio optimization. Optimization. A Journal of Mathematical Programming and Operational Research, 61(4): 423–441.
  • Kocadagli, O., & Keskin, R. (2015). A novel portfolio selection model based on fuzzy goal programming with different importance and priorities. Expert Systems with Applications, 42(20), 6898–6912.10.1016/j.eswa.2015.04.047
  • Konno, H., Shirakawa, H., & Yamazaki, H. (1993). A mean-absolute deviation-skewness portfolio optimization model. Annals of Operations Research, 45(1), 205–220.10.1007/BF02282050
  • Konno, H., & Suzuki, K. I. (1995). A mean-variance-skewness portfolio optimization model. Journal of the Operations Research Society of Japan, 38(2), 173–187.10.15807/jorsj.38.173
  • Kumar, P. C., Philippatos, G. C., & Ezzell, J. R. (1978). Goal programming and the selection of portfolios by dual-purpose funds. Journal of Finance, 33(1), 303–310.10.1111/j.1540-6261.1978.tb03408.x
  • Kumar, P. C., & Philippatos, G. C. (1979). Conflict resolution in investment decisions: Implementation of goal programming methodology for dual-purpose funds. Decision Sciences, 10(4), 562–576.10.1111/deci.1979.10.issue-4
  • Lamata, M. T., Liern, V., Pérez-Gladish, B. (2016). Doing good by doing well: A MCDM framework for evaluating corporate social responsibility attractiveness. Annals of Operations Research. (in press). doi:10.1007/s10479-016-2271-8
  • Lee, S. M., & Lerro, A. J. (1973). Optimizing the portfolio selection for mutual funds. Journal of Finance, 28(5), 1087–1101.
  • Lee, S. M., & Chesser, D. L. (1980). Goal programming for portfolio selection. Journal of Portfolio Management Spring, 22–26.10.3905/jpm.1980.408744
  • Lee, W. S., Tzeng, G. H., Guan, J. L., Chien, K. T., & Huang, J. M. (2009). Combined MCDM techniques for exploring stock selection based on Gordon model. Expert Systems with Applications, 36(3), 6421–6430.10.1016/j.eswa.2008.07.084
  • León, T., Liern, V., & Vercher, E. (2002). Viability of infeasible portfolio selection problems: A fuzzy approach. European Journal of Operational Research, 139(1), 178–189.10.1016/S0377-2217(01)00175-8
  • León, M. T., Liern, V., Marco Pont, P., Segura, J. V., & Vercher, E. (2004). A downside risk approach for the portfolio selection problem with fuzzy returns. Fuzzy Economic Review, 9(1), 61–77.
  • Leung, M. T., Daouk, H., & Chen, A. S. (2001). Using investment portfolio return to combine forecasts: A multiobjective approach. European Journal of Operational Research, 134(1), 84–102.10.1016/S0377-2217(00)00241-1
  • Liu, Y. J., Zhang, W. G., & Xu, W. J. (2012). Fuzzy multi-period portfolio selection optimization models using multiple criteria. Automatica, 48(12), 3042–3053.10.1016/j.automatica.2012.08.036
  • Lo, A. W., Petrov, C., & Wierzbicki, M. (2003). It’s 11 pm – Do you know where your liquidity is? The mean-variance-liquidity frontier. Journal of Investment Management, 1(1), 55–93.
  • Mansini, R., Ogryczak, W., Speranza, M. G. (2014). Twenty years of linear programming based portfolio optimization. European Journal of Operational Research, 234(2), 518–535.10.1016/j.ejor.2013.08.035
  • Marasović, B., & Babić, Z. (2011). Two-step multi-criteria model for selecting optimal portfolio. International Journal of Production Economics, 134(1), 58–66.10.1016/j.ijpe.2011.04.026
  • Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7(1), 77–91.
  • Markowitz, H. (1956). The optimization of a quadratic function subject to linear constraints. Naval Research Logistics Quarterly, 3(1–2), 111–133.10.1002/(ISSN)1931-9193
  • Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. New York, NY: John Wiley.
  • Martel, J. M., Khoury, N. T., & Bergeron, M. (1988). An application of a multicriteria approach to portfolio comparisons. Journal of the Operational Research Society, 39(7), 617–628.10.1057/jors.1988.107
  • Martel, J. M., Khoury, N. T., & M’Zali, B. (1991). Comparaison performance taille des fonds mutuels par une analyse multicritere. L’ Actualité Economique Revue d’Analyse Economique, 67(3), 306–324.
  • Maslow, A. H. (1968). Toward a psychology of being. New York, NY: Van Nostrand.
  • Masmoudi, M., & Abdelaziz, F. B. (2017). A chance constrained recourse approach for the portfolio selection problem. Annals of Operations Research, 251(1-2), 243–254.
  • Masri, H. (2017). A Shariah-compliant portfolio selection model. Journal of the Operational Research Society. (in press). doi:10.1057/s41274-017-0223-6
  • Mehlawat, M. K. (2016). Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels. Information Sciences, 345(C): 9–26.10.1016/j.ins.2016.01.042
  • Messaoudi, L., Aouni, B., & Rebai, A. (2017). Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection. Annals of Operations Research, 251(1-2), 193–204.10.1007/s10479-015-1937-y
  • Metaxiotis, K., & Liagkouras, K. (2012). Multiobjective evolutionary algorithms for portfolio management: A comprehensive literature review. Expert Systems with Applications, 39(14), 11685–11698.10.1016/j.eswa.2012.04.053
  • Moon, Y., & Yao, T. (2011). A robust mean absolute deviation model for portfolio optimization. Computers & Operations Research, 38(9), 1251–1258.10.1016/j.cor.2010.10.020
  • Nguyen, T. T., & Gordon-Brown, L. (2012). Constrained fuzzy hierarchical analysis for portfolio selection under higher moments. IEEE Transactions on Fuzzy Systems, 20(4), 666–682.10.1109/TFUZZ.2011.2181520
  • Ogryczak, W. (2000). Multiple criteria linear programming model for portfolio selection. Annals of Operations Research, 97(1/4), 143–162.10.1023/A:1018980308807
  • Pardalos, P. M., Sandstrom, M., & Zopounidis, C. (1994). On the use of optimization models for portfolio selection: A review and some computational results. Computational Economics, 7(4), 227–244.10.1007/BF01299454
  • Pendaraki, K., Zopounidis, C., & Doumpos, M. (2005). On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds. European Journal of Operational Research, 163(2), 462–481.10.1016/j.ejor.2003.10.022
  • Pérez-Gladish, B., & M’Zali, B. (2010). An AHP-based approach to mutual funds’ social performance measurement. International Journal of Multicriteria Decision Making, 1(1), 103–127.10.1504/IJMCDM.2010.033689
  • Pérez-Gladish, B., Jones, D. F., Tamiz, M., & Bilbao-Terol, A. (2007). An interactive three-stage model for mutual funds portfolio selection. Omega, 35(1), 75–88.10.1016/j.omega.2005.04.003
  • Petrillo, A., De Felice, F., García-Melón, M., & Pérez-Gladish, B. (2016). Investing in socially responsible mutual funds: Proposal of non-financial ranking in Italian market. Research in International Business and Finance, 37, 541–555.10.1016/j.ribaf.2016.01.027
  • Powell, J. G., & Premachandra, I. M. (1998). Accommodating diverse institutional investment objectives and constraints using non-linear goal programming. European Journal of Operational Research, 105, 447–456.10.1016/S0377-2217(97)00061-1
  • Prakash, A. J., Chang, C. H., & Pactwa, T. E. (2003). Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets. Journal of Banking & Finance, 27(7), 1375–1390.10.1016/S0378-4266(02)00261-3
  • Saaty, T. L., Rogers, P. C., & Pell, R. (1980). Portfolio selection through hierarchies. Journal of Portfolio Management, 16–21.10.3905/jpm.1980.408749
  • Salas-Molina, F., Rodríguez-Aguilar, J. A., & Pla-Santamaria, D. (2017). Characterizing compromise solutions for investors with uncertain risk preferences. Operational Research: An International Journal. (in press). doi:10.1007/s12351-017-0309-6
  • Samaras, G. D., Matsatsinis, N. F., & Zopounidis, C. (2003). A multicriteria DSS for a global stock evaluation. Operational Research: An International Journal, 3(3), 281–306.10.1007/BF02936406
  • Samaras, G. D., & Matsatsinis, N. F. (2004). Intelligent investor: An intelligent decision support system for portfolio management. Operational Research: An International Journal, 4(3), 357–371.10.1007/BF02944152
  • Samaras, G. D., Matsatsinis, N. F., & Zopounidis, C. (2008). A multicriteria DSS for stock evaluation using fundamental analysis. European Journal of Operational Research, 187(3), 1380–1401.10.1016/j.ejor.2006.09.020
  • Saraoglu, H., & Detzler, M. L. (2002, May–June). A sensible mutual fund selection model. Financial Analysts Journal, 60–72.10.2469/faj.v58.n3.2538
  • Shing, C., & Nagasawa, H. (1999). Interactive decision system in stochastic multiobjective portfolio selection. International Journal of Production Economics, 60–61(20), 187–193.10.1016/S0925-5273(98)00170-4
  • Spronk, J., Steuer, R. E., & Zopounidis, C. (2016). Multicriteria decision aid/analysis in finance. In S. Greco, M. Ehrgott, & J. R. Figueira (eds.), Multiple criteria decision analysis: State of the art surveys(Vol. 2, pp 1015–1069). New York: Springer.
  • Steuer, R. E., & Na, P. (2003). Multiple criteria decision making combined with finance: A categorized bibliographic study. European Journal of Operational Research, 150(3), 496–515.10.1016/S0377-2217(02)00774-9
  • Steuer, R. E., Qi, Y., & Hirschberger, M. (2005). Multiple objectives in portfolio selection. Journal of Financial Decision Making, 1(1), 11–26.
  • Steuer, R. E., Qi, Y., & Hirschberger, M. (2007). Suitable-portfolio investors, nondominated frontier sensitivity, and the effect on standard portfolio selection. Annals of Operations Research, 152(1), 297–317.10.1007/s10479-006-0137-1
  • Steuer, R. E., Wimmer, M., & Hirschberger, M. (2013). Overviewing the transition of Markowitz bi-criterion portfolio selection to tri-criterion portfolio selection. Journal of Business Economics, 83(1), 61–85.10.1007/s11573-012-0642-4
  • Stone, B. K. (1973). A linear programming formulation of the general portfolio selection problem. Journal of Financial and Quantitative Analysis, 8(4), 621–636.10.2307/2329828
  • Tamiz, M., Azmi, R. A., & Jones, D. F. (2013). On selecting portfolio of international mutual funds using goal programming with extended factors. European Journal of Operational Research, 226(3), 560–576.10.1016/j.ejor.2012.11.004
  • Tiryaki, F., & Ahlatcioglu, M. (2005). Fuzzy stock selection using a new fuzzy ranking and weighting algorithm. Applied Mathematics and Computation, 170(1), 144–157.10.1016/j.amc.2004.10.092
  • Tiryaki, F., & Ahlatcioglu, M. (2009). Fuzzy portfolio selection using fuzzy analytic hierarchy process. Information Sciences, 179(1–2), 53–69.10.1016/j.ins.2008.07.023
  • Trenado, M., Romero, M., Cuadrado, M. L., & Romero, C. (2014). Corporate social responsibility in portfolio selection: A “goal games” against nature approach. Computers & Industrial Engineering, 75, 260–265.10.1016/j.cie.2014.07.005
  • Utz, S., Wimmer, M., & Steuer, R. E. (2015). Tri-criterion modeling for constructing more-sustainable mutual funds. European Journal of Operational Research, 246(1), 331–338.10.1016/j.ejor.2015.04.035
  • Utz, S., Wimmer, M., Hirschberger, M., & Steuer, R. E. (2014). Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds. European Journal of Operational Research, 234(2), 491–498.10.1016/j.ejor.2013.07.024
  • Varma, K., & Kumar, K. S. (2012). Criteria analysis aiding portfolio selection using dematel. Procedia Engineering, 38, 3649–3661.10.1016/j.proeng.2012.06.421
  • Vezmelaia, A. S., Lashgarib, Z., & Keyghobadi, A. (2015). Portfolio selection using ELECTRE III: Evidence from Tehran stock exchange. Decision Science Letters, 4(2), 227–236.10.5267/j.dsl.2014.11.003
  • Wu, L. C., Chou, S. C., Yang, C. C., & Ong, C. S. (2007). Enhanced index investing based on goal programming. Journal of Portfolio Management, 33(3), 49–56.10.3905/jpm.2007.684753
  • Xia, Y., Wang, S., & Deng, X. (2001). A compromise solution to mutual funds portfolio selection with transaction costs. European Journal of Operational Research, 134(3), 564–581.10.1016/S0377-2217(00)00278-2
  • Xidonas, P., & Psarras, J. (2009). Equity portfolio management within the MCDM frame: A literature review. International Journal of Banking, Accounting and Finance, 1(3), 285–309.10.1504/IJBAAF.2009.022717
  • Xidonas, P., Mavrotas, G., & Psarras, J. (2009). A multicriteria methodology for equity selection using financial analysis. Computers & Operations Research, 36(12), 3187–3203.10.1016/j.cor.2009.02.009
  • Xidonas, P., Askounis, D., & Psarras, J. (2009). Common stock portfolio selection: A multiple criteria decision making methodology and an application to the Athens Stock Exchange. Operational Research: An International Journal, 9, 55–79.10.1007/s12351-008-0027-1
  • Xidonas, P., Mavrotas, G., Zopounidis, C., & Psarras, J. (2011). IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection. European Journal of Operational Research, 210(2), 398–409.10.1016/j.ejor.2010.08.028
  • Xidonas, P., Mavrotas, G., Krintas, T., Psarras, J., & Zopounidis, C. (2012). Multicriteria portfolio management. Berlin: Springer-Verlag.10.1007/978-1-4614-3670-6
  • Yodmun, S., & Witayakiattilerd, W. (2016). Stock selection into portfolio by fuzzy quantitative analysis and fuzzy multicriteria decision making. Advances in Operations Research, 2016, 1–14.10.1155/2016/9530425
  • Yu, J. R., Lee, W. Y., & Chiou, W. J. P. (2014). Diversified portfolios with different entropy measures. Applied Mathematics and Computation, 241, 47–63.10.1016/j.amc.2014.04.006
  • Zopounidis, C., Despotis, D. K., & Kamaratou, I. (1998). Portfolio selection using the ADELAIS multiobjective linear programming system. Computational Economics, 11(3), 189–204.10.1023/A:1008660309379
  • Zopounidis, C. (1999). Multicriteria decision aid in financial management. European Journal of Operational Research, 119(2), 404–415.10.1016/S0377-2217(99)00142-3
  • Zopounidis, C., & Doumpos, M. (2013). Multicriteria decision systems for financial problems. TOP, 21, 241–261.10.1007/s11750-013-0279-7
  • Zopounidis, C., Doumpos, M., & Zanakis, S. H. (1999). Stock evaluation using a preference disaggregation methodology. Decision Sciences, 30(2), 313–336.10.1111/deci.1999.30.issue-2
  • Zopounidis, C., Galariotis, E., Doumpos, M., Sarri, S., & Andriosopoulos, K. (2015). Multiple criteria decision aiding for finance: An updated bibliographic survey. European Journal of Operational Research, 247(2), 339–348.10.1016/j.ejor.2015.05.032

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.