Grouped data, investment committees & multicriteria portfolio selection par le Professeur Panos XIDONAS

Le professeur Panos XIDONAS, professeur de Finance à l’ESSCA, a publié son article intitulé « Grouped data, investment committees & multicriteria portfolio selection » dans le très prestigieux Journal of Business Research d’Elsevier (Impact Factor = 4.874).

Cet article a été écrit avec Haris DOUKAS (National Technical University of Athens) et Christis HASSAPIS (University of Cyprus).

Abstract

Little attention has been paid to the necessity of a principal business context, in which the members of an investment committee decide for the optimal synthesis of portfolios, taking into account several and conflicting investment criteria.

The underlying gap widens significantly, considering that mainstream portfolio theory fails to accommodate, both additional investment objectives, beyond expected return and variance, and analysts’ forecasts, when these are coming in the form of discrete recommendations.

Our central contribution in this paper is associated with the introduction and standardization of a unified decision support business framework, which deals with all the above complexities and facilitates asset managers in their professional practice. Extensive out-of-sample empirical testing, based on the Dow Jones Industrial Average for a 10-year time period, provides evidence that investment portfolios generated by the methodology, appear with, either equal or superior risk-adjusted return performance, against various benchmarks.