Abstract
The selection of investment portfolios is a complex problem, encompassing multiple and conflicting criteria. We propose an integrated multi-criteria decision-making (MCDM) model composed of the Criteria Importance Through Intercriteria Correlation (CRITIC) method and Grey Relational Analysis (GRA). The proposed CRITIC-GRA model considers a series of financial indicators to assess investment alternatives, aiming to select the best options for inclusion in an investment portfolio. Data were collected from the Economatica database, and 190 companies with shares listed on the Brazilian stock exchange were selected as investment alternatives. Ten financial criteria were identified through a comprehensive literature review for use in the integrated model. To validate the proposed approach, the alternatives chosen using the method were incorporated into an optimization model, applying mean–variance analysis to define the investment weights. The results were then compared with a market benchmark, considering risk, return, and the Sharpe ratio. The portfolio selected in the study surpassed the benchmark in both risk and return.
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