Using Trade-off Information in Attributes' Investing
AbstractThe paper describes the use of trade-off information to create effective stock portfolio characterized by the desired values of selected stock attributes. The basic notions behind such a process of portfolio creation are discussed and related to multi attribute analysis which is done by evaluating compensations among the attributes' values. A framework to construct a portfolio using only compensatory information is presented and applied to the analysis of stocks traded on the Toronto Stock Exchange.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by International Institute for Applied Systems Analysis in its series Working Papers with number ir98019.
Date of creation: Apr 1998
Date of revision:
Contact details of provider:
Postal: A-2361 Laxenburg
Web page: http://www.iiasa.ac.at/Publications/Catalog/PUB_ONLINE.html
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Korhonen, Pekka & Moskowitz, Herbert & Wallenius, Jyrki, 1992. "Multiple criteria decision support - A review," European Journal of Operational Research, Elsevier, vol. 63(3), pages 361-375, December.
- William F. Messier, Jr. & James V. Hansen, 1988. "Inducing Rules for Expert System Development: An Example Using Default and Bankruptcy Data," Management Science, INFORMS, vol. 34(12), pages 1403-1415, December.
- I. Kaliszewski & W. Michalowski, 1997. "Psychological Stability of Solutions in the Multiple Criteria Decision Problems," Working Papers ir97060, International Institute for Applied Systems Analysis.
- Spronk, Jaap & Hallerbach, Winfried, 1997. "Financial modelling: Where to go? With an illustration for portfolio management," European Journal of Operational Research, Elsevier, vol. 99(1), pages 113-125, May.
- James S. Dyer & Peter C. Fishburn & Ralph E. Steuer & Jyrki Wallenius & Stanley Zionts, 1992. "Multiple Criteria Decision Making, Multiattribute Utility Theory: The Next Ten Years," Management Science, INFORMS, vol. 38(5), pages 645-654, May.
- Ziemba, William T., 1994. "World wide security market regularities," European Journal of Operational Research, Elsevier, vol. 74(2), pages 198-229, April.
- Nijkamp, P. & Spronk, J., 1978. "Interactive multiple goal programming," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Gardiner, Lorraine R. & Steuer, Ralph E., 1994. "Unified interactive multiple objective programming," European Journal of Operational Research, Elsevier, vol. 74(3), pages 391-406, May.
- Stanley Zionts & Jyrki Wallenius, 1983. "An Interactive Multiple Objective Linear Programming Method for a Class of Underlying Nonlinear Utility Functions," Management Science, INFORMS, vol. 29(5), pages 519-529, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.