naa a22 4500 510735657 CHVBK 20180411083009.0 cr unu---uuuuu 180411e20130201xx s 000 0 eng 10.1007/s11573-012-0644-2 doi (NATIONALLICENCE)springer-10.1007/s11573-012-0644-2 Beyond Markowitz with multiple criteria decision aiding [Elektronische Daten] [Salvatore Greco, Benedetto Matarazzo, Roman Słowiński] The paper is about portfolio selection in a non-Markowitz way, involving uncertainty modeling in terms of a series of meaningful quantiles of probabilistic distributions. Considering the quantiles as evaluation criteria of the portfolios leads to a multiobjective optimization problem which needs to be solved using a Multiple Criteria Decision Aiding (MCDA) method. The primary method we propose for solving this problem is an Interactive Multiobjective Optimization (IMO) method based on so-called Dominance-based Rough Set Approach (DRSA). IMO-DRSA is composed of two phases: computation phase, and dialogue phase. In the computation phase, a sample of feasible portfolio solutions is calculated and presented to the Decision Maker (DM). In the dialogue phase, the DM indicates portfolio solutions which are relatively attractive in a given sample; this binary classification of sample portfolios into ‘good' and ‘others' is an input preference information to be analyzed using DRSA; DRSA is producing decision rules relating conditions on particular quantiles with the qualification of supporting portfolios as ‘good'; a rule that best fits the current DM's preferences is chosen to constrain the previous multiobjective optimization in order to compute a new sample in the next computation phase; in this way, the computation phase yields a new sample including better portfolios, and the procedure loops a necessary number of times to end with the most preferred portfolio. We compare IMO-DRSA with two representative MCDA methods based on traditional preference models: value function (UTA method) and outranking relation (ELECTRE IS method). The comparison, which is of methodological nature, is illustrated by a didactic example. Springer-Verlag Berlin Heidelberg, 2013 Portfolio selection nationallicence Uncertainty modeling nationallicence Multiple criteria decision aiding nationallicence Interactive multiobjective optimization nationallicence Dominance-based rough set approach nationallicence Greco Salvatore Department of Economics and Business, University of Catania, Corso Italia, 55, 95129, Catania, Italy aut Matarazzo Benedetto Department of Economics and Business, University of Catania, Corso Italia, 55, 95129, Catania, Italy aut Słowiński Roman Institute of Computing Science, Poznań University of Technology, ul. Piotrowo 2, 60-965, Poznan, Poland aut Journal of Business Economics Springer-Verlag 83/1(2013-02-01), 29-60 0044-2372 83:1<29 2013 83 11573 https://doi.org/10.1007/s11573-012-0644-2 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11573-012-0644-2 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Greco Salvatore Department of Economics and Business, University of Catania, Corso Italia, 55, 95129, Catania, Italy aut NATIONALLICENCE 700 1- Matarazzo Benedetto Department of Economics and Business, University of Catania, Corso Italia, 55, 95129, Catania, Italy aut NATIONALLICENCE 700 1- Słowiński Roman Institute of Computing Science, Poznań University of Technology, ul. Piotrowo 2, 60-965, Poznan, Poland aut NATIONALLICENCE 773 0- Journal of Business Economics Springer-Verlag 83/1(2013-02-01), 29-60 0044-2372 83:1<29 2013 83 11573 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer