The key role of a portfolio manager is to establish a suitable strategy of asset allocation. The composition of a portfolio does not only depend on both return and risk of each asset, but it is also influenced by various factors. The final decision making belongs to a multiple criteria problem. Our aim is to apply a multi-criteria approach to select the attractive securities for a portfolio according to the resulting clustering of time-varying beta of the stocks. To reach this aim, we propose a twostep approach that consists in applying before a k-means algorithm on the time-varying beta computed on a suitable Capital Asset Pricing Model. Then, we rank these stocks by a Multi Criteria Decision Making model.

A multi-criteria approach in a financial portfolio selection framework / Iorio, Carmela; Pandolfo, Giuseppe; Siciliano, Roberta. - (2019), pp. 262-265. (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
;
Giuseppe Pandolfo;Roberta Siciliano
2019

Abstract

The key role of a portfolio manager is to establish a suitable strategy of asset allocation. The composition of a portfolio does not only depend on both return and risk of each asset, but it is also influenced by various factors. The final decision making belongs to a multiple criteria problem. Our aim is to apply a multi-criteria approach to select the attractive securities for a portfolio according to the resulting clustering of time-varying beta of the stocks. To reach this aim, we propose a twostep approach that consists in applying before a k-means algorithm on the time-varying beta computed on a suitable Capital Asset Pricing Model. Then, we rank these stocks by a Multi Criteria Decision Making model.
2019
978-88-8317-108-6
A multi-criteria approach in a financial portfolio selection framework / Iorio, Carmela; Pandolfo, Giuseppe; Siciliano, Roberta. - (2019), pp. 262-265. (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).
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/760067
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