Grouped data, investment committees & multicriteria portfolio selection

Panos Xidonas, Haris Doukas and Christis Hassapis

Journal of Business Research, 2021, vol. 129, issue C, 205-222

Abstract: Little attention has been paid to the necessity of a principal business context, in which the members of an investment committee decide for the optimal synthesis of portfolios, taking into account several and conflicting investment criteria. The underlying gap widens significantly, considering that mainstream portfolio theory fails to accommodate, both additional investment objectives, beyond expected return and variance, and analysts’ forecasts, when these are coming in the form of discrete recommendations. Our central contribution in this paper is associated with the introduction and standardization of a unified decision support business framework, which deals with all the above complexities and facilitates asset managers in their professional practice. Extensive out-of-sample empirical testing, based on the Dow Jones Industrial Average for a 10-year time period, provides evidence that investment portfolios generated by the methodology, appear with, either equal or superior risk-adjusted return performance, against various benchmarks.

Keywords: Portfolio selection; Multicriteria analysis; Investment committees; Group decision making (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbrese:v:129:y:2021:i:c:p:205-222

DOI: 10.1016/j.jbusres.2021.02.044

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