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Application of a synergy of MACBETH and MAUT multicriteria methods to portfolio selection in Athens stock exchange

Author

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  • Christian Hurson
  • Kostas Mastorakis
  • Yannis Siskos

Abstract

The MACBETH method consists in aiding a decision analyst to assess a global additive evaluation of a set of actions which are evaluated on multiple criteria. Nevertheless, the weights estimated by this method may not be preferentially independent and constant substitution rates or trade-offs. In order to overcome the legitimacy problem in MACBETH about the assessment of criteria weights an interactive procedure is proposed to explicitly assess tradeoffs between criteria, as it is suggested in multi-attribute utility theory (MAUT). This approach is illustrated in this paper by a real world case study concerning the evaluation of stocks in the Athens stock exchange and the portfolio selection of an investor. In fact, the assessment of the additive value model has been done by combining both MACBETH on a single criterion level and MAUT for the determination of inter-criteria parameters. The monetary value of the selected portfolio has been doubled in a six months investment period.

Suggested Citation

  • Christian Hurson & Kostas Mastorakis & Yannis Siskos, 2012. "Application of a synergy of MACBETH and MAUT multicriteria methods to portfolio selection in Athens stock exchange," International Journal of Multicriteria Decision Making, Inderscience Enterprises Ltd, vol. 2(2), pages 113-127.
    • Handle: RePEc:ids:ijmcdm:v:2:y:2012:i:2:p:113-127
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    Citations

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    Cited by:

    1. Hurson, Christian & Siskos, Yannis, 2014. "A synergy of multicriteria techniques to assess additive value models," European Journal of Operational Research, Elsevier, vol. 238(2), pages 540-551.
    2. Jaime Burgos & María Carmen Carnero, 2020. "Assessment of Social Responsibility in Education in Secondary Schools," Sustainability, MDPI, vol. 12(12), pages 1-38, June.
    3. Rafael Santos Tavares & Lidia Angulo-Meza & Luís Alberto Duncan Rangel & Annibal Parracho Sant’Anna, 2022. "Interdisciplinary graduate programs: application of the MACBETH multicriteria method for assessing their performances," Annals of Operations Research, Springer, vol. 316(2), pages 1383-1399, September.
    4. Fahime Lotfian Delouyi & Seyed Hassan Ghodsypour & Maryam Ashrafi, 2021. "Dynamic Portfolio Selection in Gas Transmission Projects Considering Sustainable Strategic Alignment and Project Interdependencies through Value Analysis," Sustainability, MDPI, vol. 13(10), pages 1-25, May.

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