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Using Trade-off Information in Attributes' Investing

Author

Listed:
  • V. Jog
  • I. Kaliszewski
  • W. Michalowski

Abstract

The 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.

Suggested Citation

  • V. Jog & I. Kaliszewski & W. Michalowski, 1998. "Using Trade-off Information in Attributes' Investing," Working Papers ir98019, International Institute for Applied Systems Analysis.
  • Handle: RePEc:wop:iasawp:ir98019
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    File URL: http://www.iiasa.ac.at/Publications/Documents/IR-98-019.pdf
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    File URL: http://www.iiasa.ac.at/Publications/Documents/IR-98-019.ps
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. 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.
    4. Ziemba, William T., 1994. "World wide security market regularities," European Journal of Operational Research, Elsevier, vol. 74(2), pages 198-229, April.
    5. 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.
    6. 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.
    7. I. Kaliszewski & W. Michalowski, 1997. "Psychological Stability of Solutions in the Multiple Criteria Decision Problems," Working Papers ir97060, International Institute for Applied Systems Analysis.
    8. 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.
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