Optimal Selection, Multi-Criteria Decision and Value at Risk: Application to the Tunisian Stock Exchange (original) (raw)

2013

Abstract

The purpose of this paper is to illustrate, using a real case, the Value at Risk (VaR) in an attractive portfolio of shares through a method for multi criterion decision such as the Preference Ranking Organization METHod for Enrichment Evaluations (PROMETHEE) developed by Brans and al. (1984). Firstly, we explain the utility of using methods of multicriteria decision in portfolio management. Secondly, we expose the procedures of PROMETHEE method and its application in finance. Thirdly, we use this method to determine an attractive Tunisian portfolio of shares. So, we determine the proportion invested in each share for five types of investors (indifferent, aggressive, defensive, middle and attached to the conventional theory of Markowitz) in order to calculate the maximum loss (VaR) of each portfolio already selected. Finally, we conclude that PROMETHEE is considered as a solution for others to select an attractive portfolio management.

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