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Two-step multi-criteria model for selecting optimal portfolio

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  • Marasovic, Branka
  • Babic, Zoran

Abstract

In spite of a large number of multi-criteria models applied to solve the problem of optimal portfolio selection and a large number of market criteria and accounting criteria proposed for these models, the problem of portfolio containing securities from different industries has not yet been adequately solved. Namely, neither can stocks of companies from different industries be compared using the same criteria nor can the weight of a particular criteria be equal for them all. Therefore this paper develops a new two-step model that will overcome the shortcomings of the previously used models. The model is divided into two different but related pillars: the choice of different industries to form the overall portfolio and the choice of portfolio for each industry. The multi-criteria model used in this paper is a modified multi-criteria programming model based on the PROMETHEE II approach. The selected model has been applied at the Zagreb Stock Exchange (ZSE) as a real case.

Suggested Citation

  • Marasovic, Branka & Babic, Zoran, 2011. "Two-step multi-criteria model for selecting optimal portfolio," International Journal of Production Economics, Elsevier, vol. 134(1), pages 58-66, November.
    • Handle: RePEc:eee:proeco:v:134:y:2011:i:1:p:58-66
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    References listed on IDEAS

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    Cited by:

    1. Zdravka Aljinović & Branka Marasović & Tea Šestanović, 2021. "Cryptocurrency Portfolio Selection—A Multicriteria Approach," Mathematics, MDPI, vol. 9(14), pages 1-21, July.
    2. Jaime Alberto Vásquez & John Willmer Escobar & Diego Fernando Manotas, 2021. "AHP–TOPSIS Methodology for Stock Portfolio Investments," Risks, MDPI, vol. 10(1), pages 1-20, December.
    3. Alexandru V. Asimit & Raluca Vernic & Ricardas Zitikis, 2016. "Background Risk Models and Stepwise Portfolio Construction," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 805-827, September.
    4. Ghahtarani, Alireza & Najafi, Amir Abbas, 2013. "Robust goal programming for multi-objective portfolio selection problem," Economic Modelling, Elsevier, vol. 33(C), pages 588-592.

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