Interactive multicriteria methods in portfolio decision analysis

Nikolaos Argyris, José Rui Figueira, Alec Morton

Research output: Chapter in Book/Report/Conference proceedingChapter

5 Citations (Scopus)

Abstract

Decision Analysis is a constructive, learning process. This is particularly true of Portfolio Decision Analysis (PDA) where the number of elicitation judgements is typically very large and the alternatives under consideration are a combinatorial set and so cannot be listed and examined explicitly. Consequently, PDA is to some extent an interactive process. In this chapter we discuss what form that interactivity might take, discussing first of all how the process of asking for judgements should be staged and managed, and secondly what assumptions should be made about the substantive value models which the analyst assumes. To make the discussion concrete, we present two interactive procedures based on extended dominance concepts which assume linear additive and concave piecewise-linear additive value functions, respectively.
Original languageEnglish
Title of host publicationPortfolio Decision Analysis
Subtitle of host publicationImproved Methods for Resource Allocation
EditorsAhti Salo, Jeffrey Keisler, Alec Morton
Place of Publication9781441999429
PublisherSpringer-Verlag
Pages107-130
Number of pages24
DOIs
Publication statusPublished - 2011

Keywords

  • operations research
  • financial economics
  • management science
  • interactive
  • multicriteria methods
  • portfolio decision analysis

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