Panagiotis Xidonas

A multicriteria methodology for equity selection using financial analysis

In this article we present a multiple criteria methodology for supporting decisions that concern the selection of equities, on the basis of financial analysis. The ELECTRE Tri outranking classification method is employed for selecting the attractive equities, through the evaluation of the overall corporate performance of the corresponding firms. The crucial importance issue of the industry/sectoral accounting particularities was strongly taken into account. An elaborate review of coherent research studies is also provided. Finally, the validity of the proposed methodology is tested through a large scale application on the Athens Stock Exchange.

IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection

A fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria, corresponding to the first two moments of return distributions, namely the expected return and portfolio variance. According to this model and according to most of the portfolio models derived from the stochastic dominance approach, the group of portfolios open to comparisons is divided into two parts: on the one hand there are the efficient portfolios (those that are not dominated by any other portfolio in the group), and on the other, those that are dominated. In other words, these models do not solve for one optimal portfolio, but rather solve for an efficient set of portfolios, among which the investor must choose, given his preference system. One criticism over these models, which has often been addressed both by practitioners and academics, is that they fail to embody the objectives of the decision maker (DM), through the various stages of the decision process. Our purpose in this article is to present an integrated and innovative methodological approach for the construction and selection of equity portfolios, which will take into account the inherent multidimensional nature of the problem, while allowing the DM to incorporate his preferences in the decision process. The proposed approach, which grounds its basis on the field of multiple criteria decision making (MCDM) and more specifically on multiobjective mathematical programming (MMP), is implemented in the IPSSIS (Integrated Portfolio Synthesis and Selection Information System) decision support system (DSS). The validity of the proposed approach is tested through an illustrative application in the Athens Stock Exchange (ASE).

Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens Stock Exchange

An integrated multiple-criteria methodological framework is proposed to support decisions that concern the selection of common stock portfolios. At the first stage of the methodology, two multiple-criteria methods are employed, within the context of the outranking relations theory, towards the initial appraisal of the stocks that are examined. We then utilize a non-linear optimization model, to generate portfolios that consist of the stocks that are classified as those with the optimal characteristics, during of the first stage. Finally, the portfolios designed at the previous stage are evaluated by using a wide set of well-known sophisticated evaluation criteria. The preferences and experiences of professionals and experts in the field of portfolio management were taken into consideration, through all the stages of the process. The validity of the above methodology is tested through a large scale illustrative application on the stocks that constitute the FTSE-140 index of the Athens Stock Exchange. The advantages of the proposed model against contextual approaches are finally stressed.

Equity portfolio management within the MCDM frame: a literature review

The current study provides a categorised bibliography on the application of the techniques of multiple criteria decision making (MCDM) to the problems and issues of portfolio management. A large number of studies in the field of portfolio management have been compiled and classified according to the different multicriteria methodological approaches that have been used. Except the in-depth presentation of the MCDM contributions in the area of portfolio management, the outmost aim of this paper is to stress the inarguable multiple criterion nature of the majority of the problems that modern financial management faces.

Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach

In this research article, our purpose is to propose a single-period multiobjective mixed-integer programming model for equity portfolio construction, in order to generate the Pareto optimal portfolios, using a variant of the well-known ε-constraint method. The decision makers investment policy, i.e. constraints regarding the portfolio structure, is strongly taken into account. An illustrative application in the Athens Stock Exchange market is also presented.

Equity portfolio construction and selection using multiobjective mathematical programming

A multi-objective mixed integer programming model for equity portfolio construction and selection is developed in this study, in order to generate the Pareto optimal portfolios, using a novel version of the well known ε-constraint method. Subsequently, an interactive filtering process is also proposed to assist the decision maker in making his/her final choice among the Pareto solutions. The proposed methodology is tested through an application in the Athens Stock Exchange.

On the selection of equity securities: An expert systems methodology and an application on the Athens Stock Exchange

In this article we present an expert systems methodology for supporting decisions that concern the selection of equities, on the basis of financial analysis. The proposed methodology is employed for selecting the attractive equities, through the evaluation of the overall corporate performance of the corresponding firms. The crucial importance issue of the industry/sectoral accounting singularities was strongly taken into account. An elaborate review of coherent research studies is also provided. Finally, the validity of the proposed methodology is tested through a large scale application on the Athens Stock Exchange.

Robust multiobjective portfolio optimization: A minimax regret approach

An efficient frontier in the typical portfolio selection problem provides an illustrative way to express the tradeoffs between return and risk. Following the basic ideas of modern portfolio theory as introduced by Markowitz, security returns are usually extracted from past data. Our purpose in this paper is to incorporate future returns scenarios in the investment decision process. For representative points on the efficient frontier, the minimax regret portfolio is calculated, on the basis of the aforementioned scenarios. These points correspond to specific weight combinations. In this way, the areas of the efficient frontier that are more robust than others are identified. The underlying key-contribution is related to the extension of the conventional minimax regret criterion formulation, in multiobjective programming problems. The validity of the approach is verified through an illustrative empirical testing application on the Eurostoxx 50.

A multiple criteria decision-making approach for the selection of stocks

AbstractA fundamental principle of modern portfolio theory is that portfolio selection decisions are generally made using two criteria, corresponding to the first two moments of return distributions, namely the expected returnportfolio variance. One criticism over this theory, which has often been addressed both by practitioners and academics, is that it fails to embody all the decision-makers objectives, through the various stages of the decision process. The aim of this paper is to present an alternative methodological approach for modeling one of the most crucial phases of the portfolio management process, the security selection phase. The main characteristic of the proposed approach is that it fully takes into account the inherent multi-dimensional nature of the problem, although allowing the decision-maker to incorporate his preferences in the decision process. The validity of the proposed approach is tested through an illustrative application in Athens Stock Exchange. Besides, a detailed categorized bibliography is provided, relative to the application of the techniques of multiple criteria decision making to the problems and issues of portfolio management.

Portfolio management within the frame of multiobjective mathematical programming: a categorised bibliographic study

According to the conventional theory of finance, maximising return with minimum risk should be a milestone of every rational investor. However, contrary to the theoretical expectations of the classical approach, the tests achieved on most financial markets have revealed the existence of more variables, beyond those of risk and return. Moreover, the conventional theory does not take into consideration the investors specific preferences and behavioural aspects. Under this rationale, the problem of selecting an attractive portfolio is a multicriteria issue, which should be tackled by using appropriate techniques. It is our purpose in this paper to show that the modelling framework of multiobjective mathematical programming (MMP) constitutes the most solid methodological basis for resolving the inherent multidimensional nature of the portfolio selection problem. We are also trying to capture the existing research activity through an elaborate categorised bibliographic review, regarding the application of MMP techniques in portfolio management.