https://www.um.edu.mt/library/oar/handle/123456789/28489 2026-04-27T13:44:55Z https://www.um.edu.mt/library/oar/handle/123456789/30338 Title: Structuring portfolio selection criteria for interactive decision support Authors: Hurson, Christian; Ricci-Xella, Nadine Abstract: A trichotomic evaluation system for portfolio selection support is proposed through this paper. The methodology works in two phases: First, Arbitrage Pricing Theory (APT) is used to estimate portfolios’ expected return and to identify influence factors and risk origins. ELECTRE TRI method aggregates all the common risk criteria into a unique one, which is more understandable by real investors or portfolio managers. By this way each alternative portfolio is evaluated on three criteria only including return, residual risk and common risk. In the second phase, the MINORA multicriteria interactive system based on preference disaggregation is proposed to select attractive portfolios. The whole methodological framework is illustrated by an application to the French stock market. 2002-01-01T00:00:00Z https://www.um.edu.mt/library/oar/handle/123456789/30337 Title: Qualitative modelling of credit scoring : a case study in banking Authors: Bana e Costa, Carlos A. E.; Soares, Joao Oliveira; Barroso, Luis Antunes Abstract: Several modelling procedures have been suggested in the literature that aim to help credit granting decisions. Most of these utilize statistical, operational research and artificial intelligence techniques to identify patterns among past applications, in order to enable a more well-informed assessment of risk as well as the automation of credit scoring. For some types of loans, we find that the modelling procedure must permit the consideration of qualitative expert judgements concerning the performance attractiveness of the applications. In this paper, we describe in detail the various steps taken to build such a model in the context of the banking sector, using the MACBETH interactive approach. The model addresses the scoring of medium and long term loans to firms, to enable the multicriteria assignment of each application to a category which may range from rejection to acceptance with different spreads. 2002-01-01T00:00:00Z https://www.um.edu.mt/library/oar/handle/123456789/30336 Title: Evaluation of Greek construction companies’ securities using UTADIS method Authors: Dimitras, Augustinos I. Abstract: The evaluation of stocks and the selection of the ‘best’ ones is an important step in the process of constructing an optimal portfolio. This study proposes the multicriteria method UTADIS (UTilités Additives DIScriminantes) for the sorting of stocks in categories incorporating, not only quantitative meas - ures, but also the knowledge as well as the preferences of experts. The study illustrates the application of the method on the construction industry stocks in Athens Stock Exchange, using the financial characteristics of the companies. The model developed is evaluated according to its usefulness in a decision process. Further research and the application of the method in other indus - tries’ stocks can establish the method as an important tool in stock evaluation and the relative decision making process. 2002-01-01T00:00:00Z https://www.um.edu.mt/library/oar/handle/123456789/30335 Title: An integrated investment decision analysis procedure combining simulation and utility theory Authors: Luban, Florica Abstract: In this paper we examine several methods that management could use to cope with the problem of risk in capital investment decision – making. We use the net present value model as a measure of profitability of an investment project. This measure is discussed in relation to their applicability and interpretation in risk analysis models. It is shown that it may be worth developing an integrated decision analysis procedure. The proposed procedure includes the Monte Carlo simulation to obtain a probability distribution of net present values, the calculation of the expected net present value, risk profiles analysis by stochastic dominance criterion, and as a final step the sensitivity analysis using utility functions with different levels of risk aversion. Numerical results obtained with this procedure are given. Finally, we discuss about relatively new approach of "real options" which can be used to expand our analysis methods. 2002-01-01T00:00:00Z