A PROMETHEE-based approach to portfolio selection problems

Computers and Operations Research

Volumn 39, Issue 5, 2012, Pages 1010-1020

  Vetschera, Rudolf ^a   De Almeida, Adiel Teixeira ^b  

^a UNIVERSITY OF VIENNA   (Austria)

^b FEDERAL UNIVERSITY OF PERNAMBUCO   (Brazil)

Author keywords

Multiattribute decision aid; Outranking; Portfolio problems; PROMETHEE

Indexed keywords

ALTERNATIVE APPROACH; CLOSE APPROXIMATION; COMPUTATIONAL EFFORT; COMPUTATIONAL STUDIES; MULTI-ATTRIBUTE DECISIONS; OUTRANKING; OUTRANKING METHODS; PORTFOLIO PROBLEMS; PORTFOLIO SELECTION PROBLEMS; PROMETHEE;

DECISION SUPPORT SYSTEMS;

OPTIMIZATION;

EID: 80052259318     PISSN: 03050548     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cor.2011.06.019     Document Type: Article

References (36)

1. B. Roy Multicriteria methodology for decision aiding 1996 Kluwer Academic Publishers Dordrecht
2. C. Zopounidis Multicriteria decision aid in financial management European Journal of Operational Research 119 2 1999 404 415 (Pubitemid 30518396)
3. M.F. Abu-Taleb, and B. Mareschal Water resources planning in the Middle East: application of the PROMETHEE V multicriteria method European Journal of Operational Research 81 3 1995 500 511
4. J.P. Brans, and B. Mareschal PROMETHEE V: MCDM problems with segmentation constraints INFOR 30 2 1992 85 96
5. D. Nikolic, I. Jovanovic, I. Mihajlovic, and Z. Zivkovic Multi-criteria ranking of copper concentrates according to their quality - an element of environmental management in the vicinity of copper-smelting complex in Bor, Serbia Journal of Environmental Management 91 2009 509 515
6. A. Hoff, H. Andersson, M. Christiansen, G. Hasle, and A. Lokketangen Industrial aspects and literature survey: fleet composition and routing Computers and Operations Research 37 12 2010 2041 2061
7. A.J. Higgins, S. Hajkowicz, and E. Bui A multi-objective model for environmental investment decision making Computers and Operations Research 35 1 2008 253 266 (Pubitemid 46899359)
8. C. Zopounidis, and M. Doumpos Multi-criteria decision aid in financial decision making: methodologies and literature review Journal of Multi-Criteria Decision Analysis 11 4-5 2002 167 186 (Pubitemid 36982227)
9. P. Xidonas, G. Mavrotas, and J. Psarras A multicriteria methodology for equity selection using financial analysis Computers and Operations Research 36 12 2009 3187 3203
10. K.P. Anagnostopoulos, and G. Mamanis A portfolio optimization model with three objectives and discrete variables Computers and Operations Research 37 2010 1285 1297
11. C. Stummer, and K. Heidenberger Interactive R & D portfolio analysis with project interdependencies and time profiles of multiple objectives IEEE Transactions on Engineering Management 50 2 2003 175 183
12. C. Stummer, and R. Vetschera Decentralized planning for multiobjective resource allocation and project selection Central European Journal of Operations Research 11 3 2003 253 279
13. A.F. Carazo, T. Gomez, J. Molina, A.G. Hernandez-Diaz, F.M. Guerrero, and R. Caballero Solving a comprehensive model for multiobjective project portfolio selection Computers and Operations Research 37 4 2010 630 639
14. M. Behzadian, R.B. Kazemzadeh, A. Albadvi, and M. Aghdasi PROMETHEE: a comprehensive literature review on methodologies and applications European Journal of Operational Research 200 1 2010 198 215
15. J.P. Brans, and P. Vincke A preference ranking organization method Management Science 31 6 1985 647 656
16. B. Al-Kloub, and M.F. Abu-Taleb Application of multicriteria decision aid to rank the Jordan-Yarmouk basin co-riparians according to the Helsinki and ILC rules Water International 23 3 1998 164 173 (Pubitemid 128469437)
17. D.C. Morais, and A.T. de Almeida Group decision-making for leakage management strategy of water network Resources, Conservation and Recycling 52 2 2007 441 459 (Pubitemid 47451712)
18. A. Bouri, J.-M. Martel, and H. Chabchoub A multi-criterion approach for selecting attractive portfolio Journal of Multi-Criteria Decision Analysis 11 45 2002 269 277
19. M. Hababou, and J.-M. Martel Multi-criteria approach for selecting a portfolio manager INFOR 36 3 1998 161 177
20. V. Mitková, V. Mlynarovic, and B. Tus A performance and risk analysis on the Slovak private pension funds market Journal of Economics 5 3 2007 232 249 (Pubitemid 46851476)
21. A.S. Fernandez-Castro, and M. Jimenez PROMETHEE: an extension through fuzzy mathematical programming Journal of the Operational Research Society 56 1 2005 119 122 (Pubitemid 40108437)
22. G. Mavrotas, D. Diakoulaki, and Y. Caloghirou Project prioritization under policy restrictions: a combination of MCDA with 01 programming European Journal of Operational Research 171 1 2006 296 308 (Pubitemid 41690041)
23. J.-M. Martel, N.T. Khoury, and B. M. An application of a multicriteria approach to portfolio comparisons Journal of the Operational Research Society 39 7 1988 617 628 (Pubitemid 18652561)
24. P.B. Gladish, D.F. Jones, M. Tamiz, and A. Bilbao Terol An interactive three-stage model for mutual funds portfolio selection Omega 35 1 2007 75 88 (Pubitemid 44309357)
25. C. Hurson, and C. Zopounidis On the use of multi-criteria decision aid methods to portfolio selection Journal of Euro-Asian Management 1 2 1995 69 94
26. C. Araz, P.M. Ozfirat, and I. Ozkarahan An integrated multicriteria decision-making methodology for outsourcing management Computers and Operations Research 34 12 2007 3738 3756 (Pubitemid 46661043)
27. J.P. Brans, B. Mareschal, and P. Vincke PROMETHEE: a new family of outranking methods in multicriteria analysis J. Brans, Operational research 84 1984 North-Holland Amsterdam 477 490 (Pubitemid 15594078)
28. J.-C. Pomerol, and S. Barba-Romero Multicriterion decision in management: principles and practice 2000 Kluwer Academic Publishers Dordrecht
29. J.P. Brans, and B. Mareschal PROMETHEE methods J. Figueira, S. Greco, M. Ehrgott, Multiple criteria decision analysis - state of the art surveys 2005 Springer New York 163 195
30. W. De Keyser, and P. Peeters A note on the use of PROMETHEE multicriteria methods European Journal of Operational Research 89 3 1996 457 461 (Pubitemid 126386778)
31. B. Mareschal, Y. de Smet, and P. Nemery Rank reversal in the PROMETHEE II: some new results IEEE international conference on industrial engineering and engineering management 2008
32. R. Vetschera Composite alternatives in group decision support Annals of Operations Research 51 1994 197 215
33. Verly C, De Smet Y. Some results about rank reversal instances in the PROMETHEE methods. International Journal of Multicriteria Decision Making, in press.
34. H. Abdi The Kendall rank correlation coefficient N. Salkind, Encyclopedia of measurement and statistics 2007 Sage Thousand Oaks
35. A.J. Brito, A.T. de Almeida, and C.M. Mota A multicriteria model for risk sorting of natural gas pipelines based on ELECTRE Tri integrating utility theory European Journal of Operational Research 200 2010 812 821
36. A.T. de Almeida Multicriteria decision model for outsourcing contracts selection based on utility function and ELECTRE method Computers and Operations Research 12 2007 3569 3574