The paper describes use of trade-off information to create effective stock portfolio characterized by desired values of selected stock attributes. Basic notions behind such portfolio creation processes are discussed and related to the multiattribute analysis performed by evaluating compensations among the attributes’ values. A framework to construct a portfolio using only compensatory information is presented and applied to the analysis of the stocks traded on the Toronto Stock Exchange.

Additional Metadata
Keywords Dominance, Portfolio creation, Portfolio tilting, Trade-offs
Persistent URL dx.doi.org/10.1002/(SICI)1099-1360(199907)8:4<189::AID-MCDA233>3.0.CO;2-C
Journal Journal of Multi-Criteria Decision Analysis
Citation
Jog, V, Kaliszewski, I. (Ignacy), & Michalowski, W. (Wojtek). (1999). Using attribute trade-off information in investment. Journal of Multi-Criteria Decision Analysis, 8(4), 189–199. doi:10.1002/(SICI)1099-1360(199907)8:4<189::AID-MCDA233>3.0.CO;2-C