Masri / Pérez-Gladish / Zopounidis Financial Decision Aid Using Multiple Criteria

Recent Models and Applications
1. Auflage 2018
ISBN: 978-3-319-68876-3
Verlag: Springer Nature Switzerland
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 246 Seiten

Reihe: Multiple Criteria Decision Making

This volume highlights recent applications of multiple-criteria decision-making (MCDM) models in the field of finance. Covering a wide range of MCDM approaches, including multiobjective optimization, goal programming, value-based models, outranking techniques, and fuzzy models, it provides researchers and practitioners with a set of MCDM methodologies and empirical results in areas such as portfolio management, investment appraisal, banking, and corporate finance, among others. The book addresses issues related to problem structuring and modeling, solution techniques, comparative analyses, as well as combinations of MCDM models with other analytical methodologies.

Hatem Masri is an Associate Professor and Director of the Quality Assurance and Accreditation office at the College of Business Administration in the University of Bahrain, Kingdom of Bahrain. He received his PhD in Management in 2004 and Master in Operations Research in 1999 from the University of Tunis, Tunisia. His research interests include multiple objective stochastic programming, supply chain management, financial engineering, and vehicle routing problems. His research has been published in several international journals (EJOR, ANOR, FSS, IJAR, ...) and funded by the University of Tunis, the University of Nizwa and the University of Bahrain. He is a member of the International Society on Multiple Criteria Decision Making, IEEE and the Tunisian Decision Aid Society.Dr Blanca Pérez Gladish is a Titular Professor in Quantitative Economics at the Faculty of Economics and Business Studies, University of Oviedo in Spain. Blanca is the responsible researcher of the Socially Responsible Investment and Sustainable Development Research Group. She is a board editor in for the International Journal of Portfolio Analysis and Management and associated editor for the International Journal of Energy Optimization and Engineering. Blanca's research focuses on Multicriteria Decision Making with particular interest in Socially Responsible Mutual Funds Portfolio Selection. Her research has obtained financial support from the University of Oviedo, MAPHRE, Spanish Ministry of Science and Technology, Spanish Ministry of Education and recently from the Spanish Ministry of Science and Innovation. She has been visitant professor in the University of Portsmouth (2004), University of Montreal (École Polytechnique, 2005), University of Oslo (2007), University of Quebec in Montreal (2009, 2010, 2011), University of Sydney (2008), Queensland University (2008), Norwegian University of Science and Technology (2010) and University of Montreal (2011). Blanca's work is published in internationally refereed journals as OMEGA, European Journal of Operational Research, Journal of the Operational Research Society, Applied Mathematics and Computation, INFOR and the Australian Journal of Management, among others. Constantin Zopounidis is the Director of the Financial Engineering Laboratory. Prof. Zopounidis received his Doctorat D'Etat (1986) in management science, a D.E.A. (1982) in financial management from the University of Paris-IX Dauphine and a B.A. in Business Administration from the University of Macedonia.Prof. Zopounidis has been with the School of Production Engineering and Management of the Technical University of Crete, since 1987 and served as Chairman of the Department during the period 2001-2005.Prof. Zopounidis is elected member of the Royal Academy of Economc and Finance Sciences of Spain and Distinguished Research Professor at Audencia Business School, France. His research interests include financial engineering, financial risk management, and multiple criteria decision making. He has published over 450 papers in premier international journals, edited volumes, and conference proceedings. He has also published several books and edited volumes on financial engineering and operations research. Prof. Zopounidis is Editor-in-Chief and member of the editorial board of several international journals. For his research work, Prof. Zopounidis has received awards and honorary distinctions from international research organizations, including among others the ??ISIL International Foundation, the Decision Sciences Institute, the European Association of Management and Business Economics, the Royal Academy of Doctors of Spain, the Hellenic Operational Research Society, the International Association for Fuzzy Set Management and Economy, and the International MCDM Society.

Autoren/Hrsg.

Masri, Hatem

Pérez-Gladish, Blanca

Zopounidis, Constantin

Inhaltsverzeichnis

1;Preface;7
2;Acknowledgments;9
3;Contents;10
4;Multiattribute Assessment of the Financial Performance of Non-life Insurance Companies: Empirical Evidence from Europe;12
4.1;1 Introduction;12
4.2;2 Data;14
4.3;3 Methodology;16
4.3.1;3.1 Benefit-of-the-Doubt Approach;17
4.3.2;3.2 Metafrontier Analysis;18
4.3.3;3.3 Robust Estimation;19
4.4;4 Results;20
4.4.1;4.1 Performance Estimation;20
4.4.2;4.2 Explanatory Econometric Analysis;23
4.5;5 Conclusions and Future Perspectives;26
4.6;References;27
5;A DSS for Designing an MCDA Study with Application in Performance Evaluation of Forecasting Models;29
5.1;1 Introduction;29
5.2;2 MCDA: A Methodological Framework;30
5.3;3 Performance Evaluation of Forecasting Models;39
5.4;4 Adaptation of MCDA Methodology to Performance Evaluation of Competing Forecasting Models and Its Application;40
5.5;5 Conclusion;45
5.6;Appendix;45
5.7;References;51
6;Interactive Portfolio Optimization Using Mean-Gini Criteria;59
6.1;1 Introduction;60
6.2;2 Mean-Gini Model;63
6.3;3 Interactive Multi-Objective Optimization with Mean-Gini Criteria;65
6.3.1;3.1 Interactive Solution Procedure;65
6.3.2;3.2 Numerical Illustration;69
6.4;4 Computational Results and Insights;72
6.4.1;4.1 Specification of Utility Function;72
6.4.2;4.2 Data and Experimental Design;74
6.4.3;4.3 Computational Analysis of Interactive Solution Method;76
6.4.4;4.4 Out-of-Sample Performance Analysis;78
6.4.5;4.5 Analysis of Portfolio Allocations of MGO and MGR Model;80
6.5;5 Conclusions and Future Studies;81
6.6;Appendix 1: Pseudo-Code for Interactive Procedure;83
6.7;Appendix 2: Computational Results;84
6.8;References;99
7;A Multi-objective Approach to Multi-period: Portfolio Optimization with Transaction Costs;102
7.1;1 Introduction;102
7.2;2 Multi-period Portfolio Selection Literature Review;106
7.3;3 Formulation of the Multi-period Portfolio Selection Models;107
7.3.1;3.1 The Multi-objective Multi-period Portfolio Selection Problem;110
7.3.2;3.2 The Minimum Risk Multi-period Portfolio Selection Problem;111
7.3.3;3.3 The Maximum Expected Return Multi-period Portfolio Selection Problem;111
7.3.4;3.4 The Risk - Expected Return Trade-Off Multi-period Portfolio Selection Problem;112
7.4;4 A Goal Programming Approach to the Multi-period Multi-objective Portfolio Optimization Problem;112
7.4.1;4.1 A GP Model for the Multi-objective Multi-period Portfolio Selection Problem with 2m Objective Functions;114
7.4.2;4.2 A GP Model for the Multi-objective Multi-period Portfolio Selection Problem with Two Objective Functions;115
7.5;5 Numerical Examples for the Minimum Risk Model;117
7.6;6 Conclusion;118
7.7;References;119
8;Distance Measures for Portfolio Selection;122
8.1;1 Introduction;123
8.2;2 Portfolio Strategies;124
8.2.1;2.1 The Markowitz Model and Its Extensions;125
8.2.2;2.2 The Index Tracking Model;127
8.3;3 Distance Measures: Markowitz and Index Tracking;128
8.4;4 Metaheuristics;129
8.5;5 Experimental Analysis;131
8.6;6 Conclusion;137
8.7;References;137
9;A Behavioral and Rational Investor Modeling to Explain Subprime Crisis: Multi Agent Systems Simulation in Artificial FinancialMarkets;139
9.1;1 Introduction;140
9.2;2 Behavioral Finance and Financial Crisis;141
9.2.1;2.1 Investor's Beliefs;142
9.2.2;2.2 Investor's Preferences;142
9.2.3;2.3 Mimetic Behavior;143
9.3;3 The Financial Markets and the SMA Approach;144
9.4;4 A Behavioral Explanation Approach to the Financial Crisis;144
9.5;5 The Proposed Investors' Agent-Based Models;146
9.5.1;5.1 The Investors' Models;146
9.5.2;5.2 The Perceptual Process;147
9.5.3;5.3 The Decision Making Process;148
9.5.3.1;5.3.1 The Rational Investor's Model;148
9.5.3.2;5.3.2 The Behavioral Investor's Model;148
9.5.3.3;5.3.3 The Mimetic Investor's Model;148
9.6;6 Simulation and Results;150
9.6.1;6.1 Simulation;150
9.6.2;6.2 Results and Interpretations;151
9.6.2.1;6.2.1 The Subprime Bubble Identification;151
9.6.2.2;6.2.2 The Subprime Crisis Identification;151
9.7;7 Conclusion;154
9.8;References;154
10;Empowering Cash Managers Through Compromise Programming;156
10.1;1 Introduction;156
10.2;2 Literature Review;158
10.3;3 Formulation of the MOCMP;159
10.4;4 Risk Analysis in Cash Management;161
10.4.1;4.1 Measuring Risk in Cash Management;161
10.4.2;4.2 Alternative Measures of Risk;162
10.4.3;4.3 Summary of Risk Measures;165
10.5;5 Compromise Models to Solve the MOCMP;165
10.5.1;5.1 Solving the MOCMP by Monte Carlo Methods;167
10.5.2;5.2 Solving the MOCMP by Linear Programming;170
10.5.3;5.3 Solving the MOCMP by Quadratic Programming;174
10.5.4;5.4 Discussion;175
10.6;6 On the Utility of Cash Management Models;176
10.7;7 Concluding Remarks;178
10.8;Appendix: Python for Cash Management;178
10.9;References;179
11;Multicriteria Evaluation of Innovation Projects in Services in the Brazilian Insurance Market:A Case Study;181
11.1;1 Introduction;181
11.2;2 The Insurance Market in Brazil and Innovation in Services;185
11.3;3 The Decision Support Methodology;187
11.4;4 The Application of MAVT in the Case Study;190
11.5;5 Conclusion;200
11.6;References;201
12;Ethics in Investment and Portfolio Selection: A Review;203
12.1;1 Ethics in Investment;203
12.1.1;1.1 Definitions, History and Objectives of Socially Responsible Investment;204
12.1.2;1.2 Issues of Ethical Investment;206
12.1.3;1.3 SRI vs. Islamic Investment;208
12.2;2 Ethics in Portfolio Selection;209
12.2.1;2.1 Modern Portfolio Selection theory;210
12.2.2;2.2 Portfolio Optimization Approaches;211
12.2.2.1;2.2.1 The Sharpe Approach (1963–1964);214
12.2.3;2.3 Ethical Portfolio Selection;217
12.2.3.1;2.3.1 Single-Objective Ethical Portfolio Selection;218
12.2.3.2;2.3.2 Multi-objective Ethical Portfolio Selection;220
12.3;3 Conclusion;221
12.4;References;222
13;Multi-Decision Players in R&D Investment Games;224
13.1;1 Introduction;224
13.2;2 Dynamic Strategic R&D Models: A Review;225
13.2.1;2.1 Notation and Assumptions;225
13.2.2;2.2 Dynamic R&D Models;226
13.3;3 Our Oligopoly with a Surfer;231
13.3.1;3.1 The Model;232
13.3.1.1;3.1.1 R&D Competition;233
13.3.1.2;3.1.2 R&D Cooperation;239
13.4;4 Comparisons;243
13.4.1;4.1 Competition vs Cooperation in Dynamic Framework;243
13.4.2;4.2 A Benchmark with Cellini and Lambertini Model (lambert);243
13.4.3;4.3 Dynamic vs Static Results;244
13.5;5 Conclusion;245
13.6;References;246