Decision Sciences Journal
Volume 30, Number 2
Spring 1999
Stock Evaluation Using a Preference Disaggregation Methodology
Constantin Zopounidis and Michael Doumpos
Technical University of Crete, Department of Production Engineering
and Management, Decision Support Systems Laboratory, University
Campus, 73100 Chania, Greece
Stelios Zanakis
Florida International University, Decision Sciences & Information
Systems Department, Miami, FL 33199
ABSTRACT
This paper presents a real application of a multicriteria decision
aid (MCDA) approach to portfolio selection based on preference
disaggregation, using ordinal regression and linear programming
(UTADIS method; UTilités Additives DIScriminantes). The
additive utility functions that are derived through this approach
have the extrapolation ability that any new alternative (share)
can be easily evaluated and classified into one of several user-predefined
groups. The procedure is illustrated with a case study of 98
stocks from the Athens stock exchange, using 15 criteria. The
results are encouraging, indicating that the proposed methodology
could be used as a tool for the analysis of the portfolio managers’
preferences and choices. Furthermore, the comparison with multiple
discriminant analysis (either using a stepwise procedure or not)
illustrates the superiority of the proposed methodology over
a well-known multivariate statistical technique that has been
extensively used to study financial decision-making problems.
Subject Areas: Case Study, Classification, Decision
Analysis, Linear Programming, Multi-Criteria Decision Making,
Ordinal Regression, Portfolio, and Stocks. |