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El. knyga: Multicriteria Analysis in Finance

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This book provides a concise introduction into the fundamentals and applied techniques of multiple criteria decision making in the finance sector. Based on an analysis of the nature of financial decisions and the general methods of financial modelling, risk management and financial engineering, the book introduces into portfolio management, banking management and credit scoring. Finally the book presents an overview of further applications of multi criteria analysis in finance and gives an outlook on future perspectives for the application of MCDA in finance.
1 Introduction to Financial Decision Making
1(10)
1.1 The Nature of Financial Decisions
1(3)
1.2 Financial Modeling, Risk Management, and Financial Engineering
4(4)
1.3 The Multicriteria Aspects of Financial Decisions
8(3)
1.3.1 Corporate Objectives
8(1)
1.3.2 The Multidimensional Aspects of Risk
9(1)
1.3.3 Return, Profitability, and Wealth
9(2)
2 An Overview of Multiple Criteria Decision Aid
11(12)
2.1 Introduction
11(1)
2.2 Main Concepts of Multicriteria Analysis
12(2)
2.3 Methodological Approaches
14(9)
2.3.1 Multiobjective Optimization
14(2)
2.3.2 Multiattribute Value Theory
16(1)
2.3.3 Outranking Relations
17(2)
2.3.4 Preference Disaggregation Analysis
19(4)
3 Banking Management
23(20)
3.1 The Regulatory Framework
23(1)
3.2 Bank Performance Evaluation
24(1)
3.3 A Multicriteria Approach for Bank Risk Rating
25(9)
3.3.1 Relative Evaluation
26(4)
3.3.2 Absolute Evaluation
30(1)
3.3.3 Analytic Sensitivity Analysis
30(3)
3.3.4 Robustness Analysis Through Simulation
33(1)
3.3.5 Implementation
33(1)
3.4 Application
34(5)
3.4.1 Data and Evaluation Parameters
34(2)
3.4.2 Results
36(3)
3.5 Bank Efficiency Versus Bank Performance
39(4)
4 Credit Scoring
43(18)
4.1 Credit Scoring Systems
43(2)
4.2 Construction and Validation Process
45(1)
4.3 Multicriteria Aspects of Credit Scoring
46(2)
4.4 Using Preference Disaggregation Analysis for the Construction of a Credit Scoring Model
48(4)
4.5 An Application
52(9)
4.5.1 Data
52(1)
4.5.2 Results
53(8)
5 Portfolio Management
61(22)
5.1 The Portfolio Management Process
61(2)
5.2 Asset Screening and Selection
63(2)
5.3 Portfolio Optimization
65(8)
5.3.1 The Mean-Variance Framework
65(1)
5.3.2 Alternative Portfolio Selection Criteria
66(2)
5.3.3 Multiobjective Portfolio Optimization
68(5)
5.4 Mutual Funds Performance Appraisal
73(5)
5.4.1 Risk-Adjusted Performance Measures
73(1)
5.4.2 Other Fund Assessment Systems and Methodologies
74(1)
5.4.3 Appraisal and Fund Portfolio Optimization with Multiple Criteria
75(3)
5.5 Index Tracking
78(1)
5.6 Decision Support Systems
79(4)
6 Other Applications of Multicriteria Analysis in Finance
83(10)
6.1 Investment Appraisal
83(2)
6.2 Country Risk Analysis
85(8)
6.2.1 The Context of Country Risk Assessment
85(2)
6.2.2 Multicriteria Approaches to Country Risk Analysis
87(6)
7 Conclusions and Future Perspectives
93(2)
References 95(12)
Index 107
Michael Doumpos holds a PhD in operations research (2000) and a MSc in Production Engineering and Management (1997) from the Technical University of Crete, where he currently holds an Assistant Professor position. His research interests include multiple criteria decision making, decision support systems, computational pattern recognition and financial risk management. He has published over 50 research articles in premier international journals. He has also co-authored several books, edited volumes, book chapters, conference papers and edited special issues. Prof. Doumpos is associate editor of OMEGA and recipient of the best reviewer award from the European Journal of Operational Research (2010 and 2012).

Constantin Zopounidis is the Director of the Financial Engineering Laboratory. Prof. Zopounidis received his Doctorat D'Etat (1986) in management science, a D.E.A. (1982) in financial management from the University of Paris-IX Dauphine and a B.A. in Business Administration from the University of Macedonia. Prof. Zopounidis has been with the Dept. of Production Engineering and Management of the Technical University of Crete since 1987 and served as Chairman of the Department during the period 2001-2005. Prof. Zopounidis is elected member of the Royal Academy of Economic and Finance Sciences of Spain and Distinguished Research Professor at Audencia Group, Nantes School of Management.

His research interests include financial engineering, financial risk management and multiple criteria decision making. He has published over 300 papers in premier international journals, edited volumes, and conference proceedings. He has also published several books and edited volumes on financial engineering and operations research. Prof. Zopounidis is Editor-in-Chief and member of the editorial board of several international journals. For his research work, Prof. Zopounidis has received awards and honorary distinctions from international research organizations, including among others the ISIL International Foundation, the Decision Sciences Institute, the European Association of Management and Business Economics, the Royal Academy of Doctors of Spain, the Hellenic Operational Research Society, the International Association for Fuzzy Set Management and Economy and the International MCDM Society.
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