Using Trade-off Information in Attributes' Investing
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.
|Date of creation:||Apr 1998|
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- 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.
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