Stock portfolio selection by ELECTRE-TRI: Abilities, approaches and sensitivity analysis

Document Type : Research Paper

Authors

1 Professor, Faculty of Management, University of Tehran

2 Associate Professor, Faculty of Management, University of Tehran

3 PhD student of Industrial management, Faculty of management and accounting, Allameh Tabataba’i University, Tehran, Iran

Abstract

Today, Multi-Criteria Decision Making (MCDM) is an integral part of Operations Research and gained a prominent position within the field as a result of significant theoretical and practical developments during the past four decades. In recent years, Multi-Criteria Sorting Problems (MCSP) has become an interesting topic for researchers who are working in MCDM. It consists of developing different decision models in order to assign alternatives to predefined groups. Amongst the suggested approaches for such classification, ELECTRE-TRI is considered to be one of the most important ones. The aim of this study is to implement ELECTRE-TRI in stock portfolio selection as one of the most popular and important decision making subjects. In this research, eight attributes have been taken into account in the process of choosing the stocks. These attributes are return, beta, net profit margin, ROA, ROE, EPS, P/E and P/BV. The study indicates that among the various approaches of ELECTRE-TRI, pessimistic assignment without considering veto threshold provides the best result. This study also indicates the importance of P/E in stock portfolio selection.

Keywords

References

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Financial Management Strategy
Volume 7, Issue 2 - Serial Number 25
September 2019
Pages 1-32

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History

  • Receive Date: 02 July 2017
  • Revise Date: 05 December 2018
  • Accept Date: 11 December 2018

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