We proposed a portfolio composition method within a multicriteria framework. The procedure is based on a cluster analysis of the time-varying betas, estimated by using P-spline, so that each resulting group contains different level of systemic risk. Then we computed some risk adjusted performance measures for the stocks of the recognized clusters. Finally, we use these indexes as input of the ELECTRE III method to obtain a stock ranking useful for the asset selection phase.
A multi-criteria approach in a financial portfolio selection framework / Iorio, Carmela. - (2019). (Intervento presentato al convegno CLADAG 2019 - 12th Scientific Meeting Classification and Data Analysis Group tenutosi a University of Cassino and Southern Lazio nel September 11 – 13, 2019).
A multi-criteria approach in a financial portfolio selection framework
Carmela Iorio
2019
Abstract
We proposed a portfolio composition method within a multicriteria framework. The procedure is based on a cluster analysis of the time-varying betas, estimated by using P-spline, so that each resulting group contains different level of systemic risk. Then we computed some risk adjusted performance measures for the stocks of the recognized clusters. Finally, we use these indexes as input of the ELECTRE III method to obtain a stock ranking useful for the asset selection phase.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
