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On the increasing importance of multiple criteria decision aid methods for portfolio selection
16 references·16 citing·41 second hopsampled
On the increasing importance of multiple criteria decision aid methods for portfolio selection (2018)On the increasing importance of multiple …Twenty years of linear programming based portfolio optimization (2013)Twenty years of linear progra…Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives (2011)Socially Responsible Investme…Asset portfolio optimization using fuzzy mathematical programming (2007)Asset portfolio optimization …Journal of Multi-Criteria Decision Analysis (2006)Journal of Multi-Criteria Dec…Decision making in stock trading: An application of PROMETHEE (2006)Decision making in stock trad…Multi-objective stochastic programming for portfolio selection (2005)Multi-objective stochastic pr…Multiple criteria decision making combined with finance: A categorized bibliographic study (2003)Multiple criteria decision ma…An MCDM approach to portfolio optimization (2003)An MCDM approach to portfolio…Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets (2002)Selecting a portfolio with sk…Multicriteria decision aid in financial management (1999)Multicriteria decision aid in…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL (1995)A MEAN-VARIANCE-SKEWNESS PORT…A mean-absolute deviation-skewness portfolio optimization model (1993)A mean-absolute deviation-ske…Toward a Psychology of Being (1962)Toward a Psychology of BeingPortfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionA Hybrid MCDM Approach Using the BWM and the TOPSIS for a Financial Performance-Based Evaluation of Saudi Stocks (2024)A Hybrid MCDM Approach Using …Fifty years of portfolio optimization (2023)Fifty years of portfolio opti…Using ELECTRE-TRI and FlowSort methods in a stock portfolio selection context (2022)Using ELECTRE-TRI and FlowSor…Review of Multi-Criteria Decision-Making Methods in Finance Using Explainable Artificial Intelligence (2022)Review of Multi-Criteria Deci…On ESG Portfolio Construction: A Multi-Objective Optimization Approach (2022)On ESG Portfolio Construction…Cryptocurrency portfolio allocation using a novel hybrid and predictive big data decision support system (2022)Cryptocurrency portfolio allo…An integrated multi-criteria decision-making and multi-objective optimization model for socially responsible portfolio selection (2022)An integrated multi-criteria …A novel hybrid simplified group BWM and multi-criteria sorting approach for stock portfolio selection (2022)A novel hybrid simplified gro…Robust optimization approaches for portfolio selection: a comparative analysis (2021)Robust optimization approache…Ranking-based MCDM models in financial management applications: analysis and emerging challenges (2020)Ranking-based MCDM models in …Introduction and comparative analysis of the multi-level parsimonious AHP methodology in a public transport development decision problem (2020)Introduction and comparative …Financial modelling with multiple criteria decision making: A systematic literature review (2020)Financial modelling with mult…CREST: Cross-Reference to Exchange-based Stock Trend Prediction using Long Short-Term Memory (2020)CREST: Cross-Reference to Exc…A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization (2020)A parallel variable neighborh…The classification-based consensus in multi-attribute group decision-making (2019)The classification-based cons…A Bipolar Fuzzy Extension of the MULTIMOORA Method (2019)A Bipolar Fuzzy Extension of …Liquidity Preference as Behavior Towards Risk (1958)Portfolio Selection: Efficient Diversification of Investments (1959)Optimum consumption and portfolio rules in a continuous-time model (1971)Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)Chance-Constrained Programming (1959)A Simplified Model for Portfolio Analysis (1963)A Monte-Carlo game theoretic approach for Multi-Criteria Decision Making under uncertainty (2011)Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds (2013)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Portfolio optimization with an envelope-based multi-objective evolutionary algorithm (2008)Heuristic algorithms for the cardinality constrained efficient frontier (2011)Artificial Intelligence Applied to Stock Market Trading: A Review (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Skewness in financial returns (1999)Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)How to select and how to rank projects: The Promethee method (1986)PROMETHEE and AHP: The design of operational synergies in multicriteria analysis. (2003)Application of multi-criteria decision making to sustainable energy planning—A review (2004)Environmental performance evaluation of suppliers: A hybrid fuzzy multi-criteria decision approach (2009)PROMETHEE Methods (2016)Application of PROMETHEE method for green supplier selection: a comparative result based on preference functions (2018)The analytic hierarchy process : planning, priority setting, resource allocation (1980)Méthodologie multicritère d'aide à la décision (1985)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Using daily stock returns (1985)Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)Mean-VaR portfolio optimization: A nonparametric approach (2017)Happiness is everything, or is it? Explorations on the meaning of psychological well-being. (1989)The need to belong: Desire for interpersonal attachments as a fundamental human motivation. (1995)Positive Psychology Progress: Empirical Validation of Interventions. (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1962Toward a Psychology of Being7,191 cited
  • 1952Portfolio Selection4,609 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 2003Multiple criteria decision making combined with finance: A categorized bibliographic study392 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 2006Decision making in stock trading: An application of PROMETHEE344 cited
  • 2003An MCDM approach to portfolio optimization323 cited
  • 2005Multi-objective stochastic programming for portfolio selection274 cited
  • 1993A mean-absolute deviation-skewness portfolio optimization model252 cited
  • 2002Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets219 cited
  • 2013Twenty years of linear programming based portfolio optimization218 cited
  • 2011Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives202 cited
  • 1999Multicriteria decision aid in financial management198 cited
  • 1995A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL193 cited
  • 2007Asset portfolio optimization using fuzzy mathematical programming

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193 cited
  • 2006Journal of Multi-Criteria Decision Analysis189 cited
  • Cited by

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    • 2022An integrated multi-criteria decision-making and multi-objective optimization model for socially responsible portfolio selection64 cited
    • 2019A Bipolar Fuzzy Extension of the MULTIMOORA Method61 cited
    • 2020CREST: Cross-Reference to Exchange-based Stock Trend Prediction using Long Short-Term Memory61 cited
    • 2020Introduction and comparative analysis of the multi-level parsimonious AHP methodology in a public transport development decision problem60 cited
    • 2024A Hybrid MCDM Approach Using the BWM and the TOPSIS for a Financial Performance-Based Evaluation of Saudi Stocks55 cited
    • 2022On ESG Portfolio Construction: A Multi-Objective Optimization Approach53 cited
    • 2023Fifty years of portfolio optimization51 cited
    • 2021Robust optimization approaches for portfolio selection: a comparative analysis46 cited
    • 2022Cryptocurrency portfolio allocation using a novel hybrid and predictive big data decision support system43 cited
    • 2022A novel hybrid simplified group BWM and multi-criteria sorting approach for stock portfolio selection43 cited
    • 2019The classification-based consensus in multi-attribute group decision-making42 cited
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