Multicriteria Portfolio Management [Paperback]

The primary ?purpose in this book is to present an integrated and innovative methodological approach for the construction and selection of equity portfolios. The approach ?takes into account the inherent multidimensional nature of the problem, while allowing the decision makers to incorporate specified preferences in the decision processes. A fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria; the expected return and portfolio variance. According to most of the portfolio models derived from the stochastic dominance approach, the group of portfolios open to comparisons is divided into two parts: the efficient portfolios, and the dominated. This work integrates the two approaches providing a unified model for decision making in portfolio management with multiple criteria.This book presents an innovative, integrated methodological approach to the construction and selection of equity portfolios. The text integrates stochastic methods for portfolio comparisons to offer a unified model for decision making in portfolio management.1. Introduction.- 2. Multicritera Portfolio Management.- 3. Stock Selection.- 4. Portfolio Optimization.- 5. Portfolio Performance Evaluation.- 6. Applied Portfolio Management.- 7. Conclusions.- References.

From the reviews:

Multicriteria Portfolio Management is easy to read and a handy reference. It should be useful both to readers who are just curious and to those who plan to enter the field of portfolio management. & this book does a better job of covering the expanse of multicriteria portfolio management than any book published to date. (Ralph E. Steuer, Interfaces, Vol. 44 (2), March-April, 2014)

The disastrous impact of the recent worldwide financial crisis in the global economy has shown how vulnerable international markets are. The insufficiency of our models and tools to effectively intercept the overwhelming consequel*