Using Trade-off Information in Attributes' Investing

V. Jog, I. Kaliszewski and W. Michalowski

Working Papers from International Institute for Applied Systems Analysis

Abstract: The paper describes the use of trade-off information to create effective stock portfolio characterized by the desired values of selected stock attributes. The basic notions behind such a process of portfolio creation are discussed and related to multi attribute analysis which is done by evaluating compensations among the attributes' values. A framework to construct a portfolio using only compensatory information is presented and applied to the analysis of stocks traded on the Toronto Stock Exchange.

Date: 1998-04
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