Constrained Multicriteria Sorting Method Applied to Portfolio Selection

Jun Zheng (1) , Olivier Cailloux (1) , Vincent Mousseau (1)

1 LGI - Laboratoire Génie Industriel - EA 2606

The paper focuses on portfolio selection problems which aim at selecting a subset of alternatives considering not only the performance of the alternatives evaluated on multiple criteria, but also the performance of portfolio as a whole, on which balance over alternatives on specific attributes is required by the Decision Makers (DMs). We propose a two-level method to handle such decision situation. First, at the individual level, the alternatives are evaluated by the sorting model Electre Tri which assigns alternatives to predefined ordered categories by comparing alternatives to profiles separating the categories. The DMs' preferences on alternatives are expressed by some assignment examples they can provide, which reduces the DMs' cognitive efforts. Second, at the portfolio level, the DMs' preferences express requirements on the composition of portfolio and are modeled as constraints on category size. The method proceeds through the resolution of a Mixed Integer Program (MIP) and selects a satisfactory portfolio as close as possible to the DMs' preference. The usefulness of the proposed method is illustrated by an example which integrates a sorting model with assignment examples and constraints on the portfolio definition. The method can be used widely in portfolio selection situation where the decision should be made taking into account the performances of individual alternatives and portfolio simultaneously.

Mots clés: Multicriteria decision aiding; Portfolio selection; Preference elicitation

Domaines: Recherche opérationnelle [math.OC]

Jun Zheng, Olivier Cailloux, Vincent Mousseau. Constrained Multicriteria Sorting Method Applied to Portfolio Selection. Algorithmic Decision Theory, Oct 2011, New Brunswick, New Jersey, United States. pp.331-343, ⟨10.1007/978-3-642-24873-3_25⟩. ⟨hal-00951743⟩