Return, risk measures and multicriteria decision support for portfolio selection
(EN)
Ζοπουνιδης Κωνσταντινος
(EL)
Hurson, Christian
(EN)
Zopounidis Konstantinos
(EN)
Πολυτεχνείο Κρήτης
(EL)
Technical University of Crete
(EN)
Risk a basic parameter of portfolio selection and its modelling involves some difficulties. Thus, more and more researchers try to find a solution to this problem proposing other measures than the classic ones used in portfolio selection. On the other hand, Multicriteria Decision Aid has known a big development in recent years and we think that among other advantages. multicriteria decision aid can give a satisfactory answer to the aforementioned problem; especially because it permits distinguishing the loss risk (risk to obtain a return below the expected return) from the gain opportunities (opportunities to obtain a return above the expected return). On this basis the aim of this paper is to propose a new methodology for portfolio selection and management.
(EN)
