Return, Risk Measures and Multicriteria Decision Support for Portfolio Selection

C. Hurson and C. Zopounidis

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: Risk a basic parameter of portfolio selection and its modelling involves some difficulties. Thus, more and more researchers try to find a solution to this problem proposing other measures than the classic ones used in portfolio selection. On the other hand, Multicriteria Decision Aid has known a big development in recent years and we think that among other advantages. multicriteria decision aid can give a satisfactory answer to the aforementioned problem; especially because it permits distinguishing the loss risk (risk to obtain a return below the expected return) from the gain opportunities (opportunities to obtain a return above the expected return). On this basis the aim of this paper is to propose a new methodology for portfolio selection and management.

Keywords: RISK; UNCERTAINTY; FINANCIAL MARKET; SHAREHOLDERS (search for similar items in EconPapers)
JEL-codes: D80 D81 G10 G11 (search for similar items in EconPapers)
Pages: 14 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:96b03

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