Financial Decision Aid Using Multiple Criteria: Recent Models and Applications

246 Pages·2018·3.63 MB·English

by  Hatem Masri

Multiple Criteria Decision Making
Hatem Masri
Blanca Pérez-Gladish
Constantin Zopounidis Editors
Financial Decision
Aid Using Multiple
Criteria
Recent Models and Applications
Multiple Criteria Decision Making
Serieseditor
ConstantinZopounidis
TechnicalUniversityofCrete
SchoolofProductionEngineeringandManagement
Chania
Greece
This book series focuses on the publication of monographs and edited volumes
of wide interest for researchers and practitioners interested in the theory of
multicriteriaanalysisanditsapplicationsinmanagementandengineering.Thebook
series publishes novel works related to the foundations and the methodological
aspects of multicriteria analysis, its applicationsin differentareas in management
and engineering, as well as its connections with other quantitative and analytic
disciplines.
Inrecentyears,multicriteriaanalysishasbeenwidelyusedfordecisionmaking
purposes by institutions and enterprises. Research is also very active in the field,
with numerous publications in a wide range of publication outlets and different
domains such as operations management, environmental and energy planning,
financeandeconomics,marketing,engineering,andhealthcare.
Moreinformationaboutthisseriesathttp://www.springer.com/series/13834
Hatem Masri • Blanca Pérez-Gladish •
Constantin Zopounidis
Editors
Financial Decision Aid
Using Multiple Criteria
Recent Models and Applications
123
Editors
HatemMasri BlancaPérez-Gladish
CollegeofBusinessAdministration DepartmentofQuantitativeEconomics
UniversityofBahrain UniversityofOviedo
Sakhir,Bahrain Oviedo
Asturias,Spain
ConstantinZopounidis
SchoolofProductionEngineering
andManagement
TechnicalUniversityofCrete
Chania,Greece
ISSN2366-0023 ISSN2366-0031 (electronic)
MultipleCriteriaDecisionMaking
ISBN978-3-319-68875-6 ISBN978-3-319-68876-3 (eBook)
https://doi.org/10.1007/978-3-319-68876-3
LibraryofCongressControlNumber:2017956268
©SpringerInternationalPublishingAG2018
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To whoever hastaughtme oneletter
Preface
Multiplecriteriadecisionmaking(MCDM)includesagroupofoperationalresearch
methods pursuing making choices in the presence of multiple criteria, goals,
or objectives. MCDM started to emerge in the 1950, and since then, it has
experienced a growing development. The objective of this book, edited by Prof.
HatemMasri,fromtheUniversityofBahrain(Bahrain),Prof.BlancaPérez-Gladish
fromtheUniversityofOviedo(Spain),andProf.ConstantinZopounidis,fromthe
TechnicalUniversity of Crete (Greece), is to bring together recent challengesand
developmentswithregardtothisfieldpresentingattractiveandnewmethodological
contributionsandrealapplicationsofMCDMinfinance.
The book was thought to summarize some of the main scientific contributions
in the field of financial decision making taking into account multiple dimensions
presentedattheInternationalConferenceonMultidimensionalFinance,Insurance
and Investment.This conferenceis devotedto the recentdevelopmentsand appli-
cationsofthemulti-criteriadecisionaidtoolsinthefieldoffinanceandinsurance.
Thisscientificeventdisseminatesrecentmethodsandproceduresdesignedtosolve
problemsrelated to finance, insurance,and portfolioselection formulatedthrough
a mathematicalprogrammingframework and for which a stack of conflicting and
incommensurableobjectives(criteria, attributes) is simultaneouslyoptimized.The
aimofthisconferenceistobringtogetherresearchersandpractitionersfromallover
theworldtodiscussrecenttheoreticalandmethodologicaldevelopmentsofmulti-
attributeportfolioselection,insurance,andinvestment.Giventhepopularityofthe
financial portfolio optimization topic within the fields of finance and operational
research, and the large number of active researchers, the idea of organizing an
internationalworkshoponmulti-attributeportfolioselection(MAPS)wasinitiated
in Helsinki in 2005 and chaired by Pekka Korhonen. The second edition of this
scientific event took place in Montreal and was organized by Belaid Aouni in
2007. The third edition was organized by Alejandro Balbas in Madrid in 2009.
The international committee has decided to replace the MAPS workshops by an
InternationalConference on MultidimensionalFinance, Insurance and Investment
(ICMFII) with a 2 years periodicity. The 2011 edition of the ICMFII was held
on April 14–16 in Hammamet (Tunisia) and chaired by Fouad Ben Abdelaziz.
vii
viii Preface
The fifth edition of the ICMFII was organized on November 25–27, 2013, in
BahrainandchairedbyMinwirAl-Shammari.Thesixtheditionofthisconference,
ICMFII’2016, was held on June 26–29, 2016, at the Campus d’Alcoi of the
Universitat Politècnica de València (Spain). More than 100 researchers from a
wide range of countries attended the conference, and more than 60 papers were
presentedcoveringabroadrangeoftopicsregardingmultiplecriteriadecisionaid
in finance. The oral presentations were completed with three outstanding plenary
talks delivered by Prof. Ralph Steuer, University of Georgia; Prof. Belaid Aouni,
UniversityofQatar;andProf.MichaelDoumpos,UniversityofCrete.
In December 2014, Prof. Fouad Ben Abdelaziz and Prof. Hatem Masri kindly
invitedProf.BlancaPérez-Gladishtoorganizethisevent.Wewerepleasedtoaccept
for several reasons. On one hand, the numerous editions of this conference have
beenallverysuccessful.Forus,researchersandpractitionerstryingtodevelopand
apply MCDM tools to the field of finance and insurance, this event constituted a
greatopportunitytoexchangewithcolleaguesandtolearnfromeachother.Onthe
otherhand,thiseditionoftheconferencewasdevotedtothememoryofProfessor
Enrique Ballestero. Professor Ballestero (1928–2014, Arganda del Rey, Madrid)
wasaversatileandbrilliantintellectual:teacher,economist,mathematician,member
oftheSpanishParliament(1979–1989),abstractpainter,andwriter.Butaboveall,
as Professor Carlos Romero acknowledged a few years ago, in the Foreword of
ProfessorBallestero’slastbook(SociallyResponsibleInvestment:AMulti-Criteria
DecisionMakingApproach),hewasourteacher,colleague,andfriend.
In his name and in our own names, we would like to thank all the participants
in the conferenceand all the authorsof the workspresented in this bookfor their
contributioninmakingboththeconferenceandthisbookabigsuccessandawarm
tributetothememoryofourdearmentor.
Sakhir,Bahrain HatemMasri
Oviedo,Spain BlancaPérez-Gladish
Chania,Greece ConstantinZopounidis
Acknowledgments
We would like to thank the UniversitatPolitècnica de València Campus de Alcoy
fororganizingtheICMFII’16.Also,wewouldfurtherliketothanktheconference
scientificcommitteewhohelpedusineditingthisbook:
• AlejandroBalbás(UniversityCarlosIIIofMadrid,Spain)
• AnaGarcia-Bernabeu(PolytechnicalUniversityofValencia,Spain)
• AntonioBenito(PolytechnicalUniversityofValencia,Spain)
• BelaidAouni(LaurentianUniversity,Canada)
• BlancaPérez-Gladish(UniversityofOviedo,Spain)
• BouchraM’Zali(UQAM,Canada)
• CarlosRomero(TechnicalUniversityofMadrid,Spain)
• CinziaColapinto(Ca’FoscariUniversity,Italy)
• ConstantinZopounidis(TechnicalUniversityofCrete,Greece)
• DavidPla-Santamaria(PolytechnicalUniversityofValencia,Spain)
• DavideLaTorre(UniversityofMilan,Italy)
• DylanJones(UniversityofPortsmouth,UK)
• FouadBenAbdelaziz(RouenBusinessSchool,France)
• FranciscoRuiz(UniversityofMálaga,Spain)
• HatemMasri(UniversityofBahrain,Bahrain)
• JaapSpronk(ErasmusUniversity,Netherlands)
• JamalOuenniche(UniversityofEdinburgh,UK)
• JoseManuelCabello(UniversityofMálaga,Spain)
• KhamoussiHalioui(UniversityofImamMuhammedbenSaud,KSA)
• MilaBravo(PolytechnicalUniversityofValencia,Spain)
• MinwirAl-Shammari(UniversityofBahrain,Bahrain)
• MoezBennouri(MontpellierBusinessSchool,France)
• RafaelCaballero(UniversityofMálaga,Spain)
• RalphSteuer(UniversityofGeorgia,USA)
• SabriBoubaker(ChampagneSchoolofManagement,ESCTroyes,France)
• SamiAttaoui(NEOMABusinessSchool,France)
• SlaheddineHallara(UniversityofTunis,Tunisia)
• VicenteLiern(UniversityofValencia,Spain)
ix
Contents
MultiattributeAssessmentoftheFinancialPerformanceofNon-life
InsuranceCompanies:EmpiricalEvidencefromEurope................... 1
MichalisDoumpos,EmiliosGalariotis,GiacomoNocera,andConstantin
Zopounidis
A DSS for Designing an MCDA Study with Application
inPerformanceEvaluationofForecastingModels........................... 19
JamalOuenniche,BingXu,andBlancaPérez-Gladish
InteractivePortfolioOptimizationUsingMean-GiniCriteria.............. 49
RanJi,MiguelA.Lejeune,andSrinivasY.Prasad
A Multi-objective Approach to Multi-period: Portfolio
OptimizationwithTransactionCosts.......................................... 93
MariusRadulescuandConstantaZoieRadulescu
DistanceMeasuresforPortfolioSelection..................................... 113
JosephAndria,GiacomodiTollo,andArneLokketangen
ABehavioralandRationalInvestorModelingtoExplainSubprime
Crisis: Multi AgentSystemsSimulationin ArtificialFinancial
Markets............................................................................ 131
YosraBenSaid,DalelKanzari,andMarwaBezzine
EmpoweringCashManagersThroughCompromiseProgramming....... 149
Francisco Salas-Molina, David Pla-Santamaria,
andJuanA.Rodríguez-Aguilar
Multicriteria Evaluation of Innovation Projects
in Services in the Brazilian Insurance Market:
ACaseStudy ..................................................................... 175
PriscilaAguiardaSilvaandLuizFlávioAutranMonteiroGomes
xi