Stock selection using a multiple criteria hierarchical process in the Dow Jones index

Manuel Muñoz-Palma, Eva L. Miranda, Pavel A. Alvarez, María Bernal and Ernesto León-Castro

International Journal of Innovation and Sustainable Development, 2023, vol. 17, issue 1/2, 67-84

Abstract: One of the problems that investors often face is deciding on the stocks to include in an investment portfolio. The objective of the paper is the selection of investment portfolios considering the 30 main companies listed on the New York Stock Exchange of the Dow Jones Index. Portfolio selection in this index is carried out by generating a previous ranking of the shares with a novel approach that analyses the performance of the shares in a multiple criteria hierarchical process (MCHP). The ordering is generated with the hierarchical version of the ELimination Et Choix Traduisant la REalité (ELECTRE) III method using different decision criteria based on financial ratios.

Keywords: portfolio selection; Dow Jones; Markowitz model; profit and risk; MCHP; multiple criteria hierarchical process; muticriteria ranking; ELECTRE III. (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=127977 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijisde:v:17:y:2023:i:1/2:p:67-84

Access Statistics for this article

More articles in International Journal of Innovation and Sustainable Development from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().