Financial Decision Aid Using Multiple Criteria (eBook)

Recent Models and Applications

Hatem Masri, Blanca Pérez-Gladish, Constantin Zopounidis (Herausgeber)

eBook Download: PDF

2018 | 1st ed. 2018
XII, 241 Seiten
Springer International Publishing (Verlag)
978-3-319-68876-3 (ISBN)

Infos

This volume highlights recent applications of multiple-criteria decision-making (MCDM) models in the field of finance. Covering a wide range of MCDM approaches, including multiobjective optimization, goal programming, value-based models, outranking techniques, and fuzzy models, it provides researchers and practitioners with a set of MCDM methodologies and empirical results in areas such as portfolio management, investment appraisal, banking, and corporate finance, among others. The book addresses issues related to problem structuring and modeling, solution techniques, comparative analyses, as well as combinations of MCDM models with other analytical methodologies.

Hatem Masri is an Associate Professor and Director of the Quality Assurance and Accreditation office at the College of Business Administration in the University of Bahrain, Kingdom of Bahrain. He received his PhD in Management in 2004 and Master in Operations Research in 1999 from the University of Tunis, Tunisia. His research interests include multiple objective stochastic programming, supply chain management, financial engineering, and vehicle routing problems. His research has been published in several international journals (EJOR, ANOR, FSS, IJAR, ...) and funded by the University of Tunis, the University of Nizwa and the University of Bahrain. He is a member of the International Society on Multiple Criteria Decision Making, IEEE and the Tunisian Decision Aid Society.

Dr Blanca Pérez Gladish is a Titular Professor in Quantitative Economics at the Faculty of Economics and Business Studies, University of Oviedo in Spain. Blanca is the responsible researcher of the Socially Responsible Investment and Sustainable Development Research Group. She is a board editor in for the International Journal of Portfolio Analysis and Management and associated editor for the International Journal of Energy Optimization and Engineering. Blanca's research focuses on Multicriteria Decision Making with particular interest in Socially Responsible Mutual Funds Portfolio Selection. Her research has obtained financial support from the University of Oviedo, MAPHRE, Spanish Ministry of Science and Technology, Spanish Ministry of Education and recently from the Spanish Ministry of Science and Innovation. She has been visitant professor in the University of Portsmouth (2004), University of Montreal (École Polytechnique, 2005), University of Oslo (2007), University of Quebec in Montreal (2009, 2010, 2011), University of Sydney (2008), Queensland University (2008), Norwegian University of Science and Technology (2010) and University of Montreal (2011). Blanca's work is published in internationally refereed journals as OMEGA, European Journal of Operational Research, Journal of the Operational Research Society, Applied Mathematics and Computation, INFOR and the Australian Journal of Management, among others.

Constantin Zopounidis is the Director of the Financial Engineering Laboratory. Prof. Zopounidis received his Doctorat D'Etat (1986) in management science, a D.E.A. (1982) in financial management from the University of Paris-IX Dauphine and a B.A. in Business Administration from the University of Macedonia.Prof. Zopounidis has been with the School of Production Engineering and Management of the Technical University of Crete, since 1987 and served as Chairman of the Department during the period 2001-2005.Prof. Zopounidis is elected member of the Royal Academy of Economc and Finance Sciences of Spain and Distinguished Research Professor at Audencia Business School, France. His research interests include financial engineering, financial risk management, and multiple criteria decision making. He has published over 450 papers in premier international journals, edited volumes, and conference proceedings. He has also published several books and edited volumes on financial engineering and operations research. Prof. Zopounidis is Editor-in-Chief and member of the editorial board of several international journals. For his research work, Prof. Zopounidis has received awards and honorary distinctions from international research organizations, including among others the ΜΟISIL International Foundation, the Decision Sciences Institute, the European Association of Management and Business Economics, the Royal Academy of Doctors of Spain, the Hellenic Operational Research Society, the International Association for Fuzzy Set Management and Economy, and the International MCDM Society.

Inhalt

Preface 7
Acknowledgments 9
Contents 10
Multiattribute Assessment of the Financial Performance of Non-life Insurance Companies: Empirical Evidence from Europe 12
1 Introduction 12
2 Data 14
3 Methodology 16
3.1 Benefit-of-the-Doubt Approach 17
3.2 Metafrontier Analysis 18
3.3 Robust Estimation 19
4 Results 20
4.1 Performance Estimation 20
4.2 Explanatory Econometric Analysis 23
5 Conclusions and Future Perspectives 26
References 27
A DSS for Designing an MCDA Study with Application in Performance Evaluation of Forecasting Models 29
1 Introduction 29
2 MCDA: A Methodological Framework 30
3 Performance Evaluation of Forecasting Models 39
4 Adaptation of MCDA Methodology to Performance Evaluation of Competing Forecasting Models and Its Application 40
5 Conclusion 45
Appendix 45
References 51
Interactive Portfolio Optimization Using Mean-Gini Criteria 59
1 Introduction 60
2 Mean-Gini Model 63
3 Interactive Multi-Objective Optimization with Mean-Gini Criteria 65
3.1 Interactive Solution Procedure 65
3.2 Numerical Illustration 69
4 Computational Results and Insights 72
4.1 Specification of Utility Function 72
4.2 Data and Experimental Design 74
4.3 Computational Analysis of Interactive Solution Method 76
4.4 Out-of-Sample Performance Analysis 78
4.5 Analysis of Portfolio Allocations of MGO and MGR Model 80
5 Conclusions and Future Studies 81
Appendix 1: Pseudo-Code for Interactive Procedure 83
Appendix 2: Computational Results 84
References 99
A Multi-objective Approach to Multi-period: Portfolio Optimization with Transaction Costs 102
1 Introduction 102
2 Multi-period Portfolio Selection Literature Review 106
3 Formulation of the Multi-period Portfolio Selection Models 107
3.1 The Multi-objective Multi-period Portfolio Selection Problem 110
3.2 The Minimum Risk Multi-period Portfolio Selection Problem 111
3.3 The Maximum Expected Return Multi-period Portfolio Selection Problem 111
3.4 The Risk - Expected Return Trade-Off Multi-period Portfolio Selection Problem 112
4 A Goal Programming Approach to the Multi-period Multi-objective Portfolio Optimization Problem 112
4.1 A GP Model for the Multi-objective Multi-period Portfolio Selection Problem with 2m Objective Functions 114
4.2 A GP Model for the Multi-objective Multi-period Portfolio Selection Problem with Two Objective Functions 115
5 Numerical Examples for the Minimum Risk Model 117
6 Conclusion 118
References 119
Distance Measures for Portfolio Selection 122
1 Introduction 123
2 Portfolio Strategies 124
2.1 The Markowitz Model and Its Extensions 125
2.2 The Index Tracking Model 127
3 Distance Measures: Markowitz and Index Tracking 128
4 Metaheuristics 129
5 Experimental Analysis 131
6 Conclusion 137
References 137
A Behavioral and Rational Investor Modeling to Explain Subprime Crisis: Multi Agent Systems Simulation in Artificial FinancialMarkets 139
1 Introduction 140
2 Behavioral Finance and Financial Crisis 141
2.1 Investor's Beliefs 142
2.2 Investor's Preferences 142
2.3 Mimetic Behavior 143
3 The Financial Markets and the SMA Approach 144
4 A Behavioral Explanation Approach to the Financial Crisis 144
5 The Proposed Investors' Agent-Based Models 146
5.1 The Investors' Models 146
5.2 The Perceptual Process 147
5.3 The Decision Making Process 148
5.3.1 The Rational Investor's Model 148
5.3.2 The Behavioral Investor's Model 148
5.3.3 The Mimetic Investor's Model 148
6 Simulation and Results 150
6.1 Simulation 150
6.2 Results and Interpretations 151
6.2.1 The Subprime Bubble Identification 151
6.2.2 The Subprime Crisis Identification 151
7 Conclusion 154
References 154
Empowering Cash Managers Through Compromise Programming 156
1 Introduction 156
2 Literature Review 158
3 Formulation of the MOCMP 159
4 Risk Analysis in Cash Management 161
4.1 Measuring Risk in Cash Management 161
4.2 Alternative Measures of Risk 162
4.3 Summary of Risk Measures 165
5 Compromise Models to Solve the MOCMP 165
5.1 Solving the MOCMP by Monte Carlo Methods 167
5.2 Solving the MOCMP by Linear Programming 170
5.3 Solving the MOCMP by Quadratic Programming 174
5.4 Discussion 175
6 On the Utility of Cash Management Models 176
7 Concluding Remarks 178
Appendix: Python for Cash Management 178
References 179
Multicriteria Evaluation of Innovation Projects in Services in the Brazilian Insurance Market:A Case Study 181
1 Introduction 181
2 The Insurance Market in Brazil and Innovation in Services 185
3 The Decision Support Methodology 187
4 The Application of MAVT in the Case Study 190
5 Conclusion 200
References 201
Ethics in Investment and Portfolio Selection: A Review 203
1 Ethics in Investment 203
1.1 Definitions, History and Objectives of Socially Responsible Investment 204
1.2 Issues of Ethical Investment 206
1.3 SRI vs. Islamic Investment 208
2 Ethics in Portfolio Selection 209
2.1 Modern Portfolio Selection theory 210
2.2 Portfolio Optimization Approaches 211
2.2.1 The Sharpe Approach (1963–1964) 214
2.3 Ethical Portfolio Selection 217
2.3.1 Single-Objective Ethical Portfolio Selection 218
2.3.2 Multi-objective Ethical Portfolio Selection 220
3 Conclusion 221
References 222
Multi-Decision Players in R& D Investment Games
1 Introduction 224
2 Dynamic Strategic R& D Models: A Review
2.1 Notation and Assumptions 225
2.2 Dynamic R& D Models
3 Our Oligopoly with a Surfer 231
3.1 The Model 232
3.1.1 R& D Competition
3.1.2 R& D Cooperation
4 Comparisons 243
4.1 Competition vs Cooperation in Dynamic Framework 243
4.2 A Benchmark with Cellini and Lambertini Model (lambert) 243
4.3 Dynamic vs Static Results 244
5 Conclusion 245
References 246

Produkt-Details

• Erscheint lt. Verlag: 17.1.2018
• Reihe/Serie: Multiple Criteria Decision Making
• Reihe/Serie: Multiple Criteria Decision Making
• Zusatzinfo: XII, 241 p. 28 illus., 19 illus. in color.
• Verlagsort: Cham
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Planung / Organisation
• Schlagworte: Financial Decision Making • MCDM case study • multiple criteria decision model • multiple objective fuzzy programming • multiple objective programming in finance • multiple objective stochastic programming • Quantitative Finance
• ISBN-10: 3-319-68876-6 / 3319688766
• ISBN-13: 978-3-319-68876-3 / 9783319688763