University of Piraeus. International Strategic Management Association
Abstract
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
