Publication: A Multicriteria Approach to Integration and Evaluation of Investment Portfolios: The New York Stock Exchange
Date
2023
Authors
Alvarez Carrillo. Pavel Anselmo
Miranda Espinoza, Eva Luz
Muñoz Palma, Manuel
Dr. León-Castro, Ernesto
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad Nacional de Colombia
Abstract
One of the problems investors often face is deciding on the stocks to include in an investment portfolio. Hence, this article seeks to select investment portfolios considering the 30 leading companies listed on the New York Stock Exchange (NYSE) 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 analyzes their performance using a multiple criteria hierarchical process (MCHP). The current research allows the evaluation of shares and optimizing a portfolio, while developing a procedure that supports a decision-making process for organizations or practitioners to invest in the stock market. The results of analyzing the NYSE generated a portfolio that can be used for interested investors. The main contribution of the application of MCHP and Markowitz model is related to the possibility of replicating the developed procedure to select portfolios in other stock markets.
Description
Keywords
ELECTRE-III, Markowitz model, Multiple criteria hierarchical process, NYSE, Portfolio selection, Stock exchange