Journal
COMPUTERS & OPERATIONS RESEARCH
Volume 39, Issue 5, Pages 1010-1020Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.cor.2011.06.019
Keywords
Multiattribute decision aid; Outranking; PROMETHEE; Portfolio problems
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Funding
- CNPq (Brazilian Research Council)
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In this paper, we study the use of PROMETHEE outranking methods for portfolio selection problems. Starting from a new formulation of the PROMETHEE V method, we develop several alternative approaches based on the concepts of boundary portfolios and c-optimal portfolios. The proposed methods are compared in an extensive computational study. Results of these experiments show that methods based on the concept of c-optimal portfolios provide a good approximation to the (often computationally untractable) PROMETHEE ranking of all portfolios, while requiring only small computational effort even for large problems. For smaller problems, a PROMETHEE ranking of all boundary portfolios can be performed and provides a close approximation of the total ranking. (C) 2011 Elsevier Ltd. All rights reserved.
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