The key role of a portfolio manager is to establish a suitable strategy of asset allocation. The composition of a portfolio does not only depend on both return and risk of each asset, but it is also influenced by various factors. The final decision making belongs to a multiple criteria problem. Our aim is to apply a multi-criteria approach to select the attractive securities for a portfolio according to the resulting clustering of time-varying beta of the stocks. To reach this aim, we propose a twostep approach that consists in applying before a k-means algorithm on the time-varying beta computed on a suitable Capital Asset Pricing Model. Then, we rank these stocks by a Multi Criteria Decision Making model.
A multi-criteria approach in a financial portfolio selection framework / Iorio, Carmela; Pandolfo, Giuseppe; Siciliano, Roberta. - (2019), pp. 262-265. (Intervento presentato al convegno CLADAG 2019 - 12th Scientific Meeting Classification and Data Analysis Group tenutosi a University of Cassino and Southern Lazio nel September 11 – 13, 2019).
A multi-criteria approach in a financial portfolio selection framework.
Carmela Iorio
;Giuseppe Pandolfo;Roberta Siciliano
2019
Abstract
The key role of a portfolio manager is to establish a suitable strategy of asset allocation. The composition of a portfolio does not only depend on both return and risk of each asset, but it is also influenced by various factors. The final decision making belongs to a multiple criteria problem. Our aim is to apply a multi-criteria approach to select the attractive securities for a portfolio according to the resulting clustering of time-varying beta of the stocks. To reach this aim, we propose a twostep approach that consists in applying before a k-means algorithm on the time-varying beta computed on a suitable Capital Asset Pricing Model. Then, we rank these stocks by a Multi Criteria Decision Making model.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
