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

Authors: Christian Hurson; Kostas Mastorakis; Yannis Siskos

Addresses: IAE, Université de Rouen, 3, Avenue Pasteur, F-76186 Rouen Cedex, France. ' University of Piraeus, 80, Rue Karaoli and Dimitriou, GR-18534 Piraeus, Greece. ' University of Piraeus, 80, Rue Karaoli and Dimitriou, GR-18534 Piraeus, Greece

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.

Keywords: multiple criteria analysis; measuring attractiveness; categorical-based evaluation technique; MACBETH method; portfolio selection; Athens; criteria tradeoffs; multi-attribute utility theory; MAUT; stock markets; additive value model.

DOI: 10.1504/IJMCDM.2012.046939

International Journal of Multicriteria Decision Making, 2012 Vol.2 No.2, pp.113 - 127

Published online: 22 May 2012 *

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