Jaap Spronk

Performance benchmarking using interactive data envelopment analysis

This paper presents a procedure for performance benchmarking, that extends the performance measurement technique Data Envelopment Analysis (DEA), to incorporate the interactive decision procedure Interactive Multiple Goal Programming (IMGP). The resulting procedure is called Interactive Data Envelopment Analysis (IDEA). It is a decision support tool that helps decision makers to select performance benchmarks that are both feasible and desirable, and to identify benchmark partners that may be helpful in uncovering ways for achieving the selected performance standards. The IDEA concepts and characteristics are illustrated by means of an example IDEA assessment, using previously reported operating performance data of UK university departments.

A FRAMEWORK FOR MANAGING A PORTFOLIO OF SOCIALLY RESPONSIBLE INVESTMENTS

In this paper we present and illustrate using real-life data a framework for managing an investment portfolio in which the investment opportunities are described in terms of a set of attributes and part of this set is intended to capture the effects on society. Here we link with the emerging literature on SRI: socially responsible investment. Given the multi-attribute descriptions of the individual investment opportunities we show how these can be combined into portfolios with the same attributes at the portfolio level. Also we show how a manager can systematically be supported in the choice between different portfolio profiles. As part of the framework we use multi-criteria decision tools.

Interactive Multiple Goal Programming

Interactive Multiple Goal Programming (IMGP) starts frcm the assumption that the decision maker has defined a number of goal variables g1(x), …, 9m(x), these being concave functions of the instrumental variables x1, …, xn (x in vector notation).

The relevance of MCDM for financial decisions

For people working in finance, either in academia or in practice or in both, the combination of ‘finance’ and ‘multiple criteria’ is not obvious. However, we believe that many of the tools developed in the field of MCDM can contribute both to the quality of the financial economic decision making process and to the quality of the resulting decisions. In this paper we answer the question why financial decision problems should be considered as multiple criteria decision problems and should be treated accordingly. Copyright

Financial modelling: Where to go? With an illustration for portfolio management

The definition of Financial Modelling chosen by the EURO working group on financial modelling is ‘the development and implementation of tools supporting firms, investors, intermediaries, governments and others in their financial-economic decision making, including the validation of the premises behind these tools and the measurement of the effectivity of the use of these tools’. Clearly, in this definition, the decision and its solution is central. Unlike financial modelling in our definition, the theory of finance is not so much concerned with individual decisions, but rather with the effects of the decisions and actions of many individuals on the formation of prices in financial markets. It is therefore no wonder that the assumptions underlying financial theory, which at best describe ‘average individuals’ and ‘average decision situations’, are not suited to describe specific individual decision problems. In our view it is the role of financial modelling to support individual decision making, taking account of the peculiarities of the actual case, where possible taking benefit from the results of the financial theory. This philosophy towards financial modelling is illustrated by a framework for portfolio management.

A Feasibility Study of Economic and Environmental Scenarios by Means of Interactive Multiple Goal Programming

Abstract In this paper we describe our experiences with the application of a multiple criteria decision method (IMGP=Interactive Multiple Goal Programming) for the evaluation of economic policy in the Netherlands. An uncommon aspect of this study is that the multiple criteria decision method was not used to find an optimal solution, but rather to test the attainability of a number of contrasting scenarios for economic development. These scenarios are intended to represent the main options for the development of the Netherlands in the eighties. Within the framework of a broader research project (labeled Policy-Oriented Survey of the Future), these scenarios are linked to characteristic political views.

Interactive Multiple Goal Programming: An Evaluation and Some Results

The paper is devoted to Interactive Multiple Goal Programming (IMGP). This new variant of goal programming tries to combine the advantage of the flexibility of goal programming with the robustness and the learning character of interactive procedures. After a description of the algorithm and some technical details, a numerical example is presented.

Financial Planning with Fractional Goals

When solving financial planning problems with multiple goals by means of multiple objective programming, the presence of fractional goals leads to technical difficulties. In this paper we present a straightforward interactive approach for solving such linear fractional programs with multiple goal variables. The approach is illustrated by means of an example in financial planning.

A Multi-Dimensional Framework for Portfolio Management

Given an opportunity set of financial securities, an investor faces the problem of selecting one portfolio out of the multiplicity of portfolios that can be formed. This paper presents a multi-dimensiona! framework that can serve as a decision aid in the portfolio selection and management process. The framework yields room for different settings of the portfolio management problem and offers an alternative to both unstructured ad hoc approaches and complex approaches that severely restrict the decision process. The framework offers the investor systematic guidance in the search for a portfolio that suits his tastes and preferences best, while satisfying the restrictions he faces.

A new approach to firm evaluation

In this paper, a method is developed to evaluate firms on the basis of the risks they face. In accordance with the multi-factor method, risk is represented as a vector of sensitivities to unexpected changes of risk factors. Subsequently, the sensitivities themselves are related to firm characteristics.In addition, an application of the method to interfirm comparison is presented. This application is illustrated by a numerical example based on estimates concerning real data. Apart from this application, some other possible future applications are mentioned. Finally, some decision support tools are presented which may enhance the usefulness of the method in practice.