A note on scale transformations in the PROMETHEE V method

Adiel Teixeira de Almeida and Rudolf Vetschera

European Journal of Operational Research, 2012, vol. 219, issue 1, 198-200

Abstract: As already noted by Mavrotas et al. (2006), the PROMETHEE V method for multi-attribute analysis of portfolio problems will fail to include an item in a portfolio if it has a negative net flow with respect to other items, although adding such an item might actually improve the entire portfolio. However, the model formulated by Mavrotas et al. introduces a bias in favor of large portfolios because the PROMETHEE V method is sensitive to scale transformations. The present paper analyzes this effect and proposes a method to correct it.

Keywords: Multiple criteria analysis; PROMETHEE; Portfolio problems; Scale transformation (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:219:y:2012:i:1:p:198-200

DOI: 10.1016/j.ejor.2011.12.034

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