Towards a Multiple Criteria Decision Making framework for common stock portfolio selection

Abstract

An integrated multiple criteria methodological framework is proposed to support decisions that concern the construction and selection of common stock portfolios. The proposed framework combines discrete multiple criteria evaluation methods with a non-linear continuous optimisation model. The preferences and experiences of professionals and experts in the field of portfolio management are strongly taken into consideration, through all the stages of the process. The validity of the above methodology is tested through a large scale illustrative application on the stocks that constitute the FTSE-140 index of the Athens Stock Exchange.