Méthode multicritère de sélection de portefeuilles indiciels internationaux

Dans cet article nous présentons une méthode multicritère permettant de sélectionner des portefeuilles indiciels internationaux formés à partir des indices boursiers de seize (16) pays. La première version de cette méthode (ELECTRE IS) permet d’identifier les portefeuilles candidats pour le choix final (noyau) et de les comparer à ceux de la frontière efficiente traditionnelle. La deuxième version (ELECTRE III) classe tous les portefeuilles envisagés du meilleur au moins désirable, à partir des préférences de l’investisseur révélées à travers les divers paramètres de la méthode.In this paper, we present a multicriterion approach of portfolio comparison and apply it to the selection of a global index fund portfolio using sixteen (16) national stock market indexes. The first algorithm used in the study (ELECTRE IS) solves for the subset of portfolios among which the investor must limit his choice (the Kernel). These portfolios can then be contrasted with those of the traditional efficient set. The second algorithm (ELECTRE III) ranks all the portfolios considered from best to worst, on the basis of investor's preferences revealed through the various parameters used in the calculations

Restricted Constrained Delaunay Triangulations

We introduce the restricted constrained Delaunay triangulation (restricted CDT), a generalization of both the restricted Delaunay triangulation and the constrained Delaunay triangulation. The restricted CDT is a triangulation of a surface whose edges include a set of user-specified constraining segments. We define the restricted CDT to be the dual of a restricted Voronoi diagram defined on a surface that we have extended by topological surgery. We prove several properties of restricted CDTs, including sampling conditions under which the restricted CDT contains every constraining segment and is homeomorphic to the underlying surface