Structuring portfolio selection criteria for interactive decision support

A trichotomic evaluation system for portfolio selection support is proposed through this paper. The methodology works in two phases: First, Arbitrage Pricing Theory (APT) is used to estimate portfolios’ expected return and to identify influence factors and risk origins. ELECTRE TRI method aggregates all the common risk criteria into a unique one, which is more understandable by real investors or portfolio managers. By this way each alternative portfolio is evaluated on three criteria only including return, residual risk and common risk. In the second phase, the MINORA multicriteria interactive system based on preference disaggregation is proposed to select attractive portfolios. The whole methodological framework is illustrated by an application to the French stock market.peer-reviewe

Comptabilisation de couverture sous IFRS 9 : apports et application au cas des dérivés carbone

IFRS 9 Instruments Financiers remplacera la norme comptable IAS 39 au 1er Janvier 2018. Elle doit permettre aux sociétés européennes de mieux informer sur leurs stratégies de couverture au sein des états financiers en élargissant les critères d’enregistrement et en assouplissant les tests d’efficacité. Notre étude traite de la possibilité de tels apports et des modalités d’application d’IFRS 9 à partir des dérivés carbone, peu comptabilisés selon IAS 39.IFRS 9 Financial Instruments will replace the IAS 39 accounting standard from January, 1, 2018. It should enable European companies to better inform on their hedging strategies through their financial statements by both enlarging the accounting criteria and relaxing the effectiveness tests. Our study deals with the possibility of such advances by studying the application of IFRS 9 to carbon derivatives, which are barely reported under the scope of IAS 39