Financial modelling with multiple criteria decision making: A systematic literature review

Abstract

Models and methods of multi-criteria decision making/aiding (MCDM/A) work as viable alternatives to deal with the complexity and the multiple objectives that financial decisions can include. This paper presents a study about the state-of-the-art involving the use of MCDM/A for financial decisions by undertaking a systematic literature review (SLR) that seeks to respond to a set of relevant questions on this field. It contributes to the literature by setting out a categorisation of the kinds of problems approached in the reviewed papers and by verifying a set of relevant research questions for which statistical tools are used. Therefore, this paper includes an analysis of the main financial criteria and the MCDM/A methods used for financial decisions; the problematics covered by the papers; and identifying the main authors, journals and financial areas supported by these models. Throughout the paper, other reviews are discussed and literature prior to and after the sub-prime crisis is analysed.

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