INVESTMENT PORTFOLIO CONSTRUCTION USING MULTI-CRITERIA METHODOLOGY

Santiago de Chile

Congreso; 23rd Conference of the International Federation of Operational Research Societies (IFORS 2023); 2023

Pontificia Universidad Católica de Chile y Universidad de Chile

INVESTMENT PORTFOLIO CONSTRUCTION USING MULTI-CRITERIA METHODOLOGYMariana Funes1,2 ? Hernán Pablo Guevel1 - José Miguel Vargas Soria¹² - Josefina Racagni1 1Facultad de Ciencias Económicas ? Universidad Nacional de Córdoba2Centro de Investigaciones en Ciencias Económicas ? CIECSmcfunes@eco.uncor.edu - heguevel@unc.edu.ar - jose.vargas@unc.edu.ar - jracagni@unc.edu.ar ABSTRACTIn order to support the investment decision analysis process on listed companies of the Buenos Aires Stock Market, we constructed medium to long-term portfolios using ratios constructed from the final financial statements published by the companies for the 2018 year. The procedure consisted of classifying companies according to their investment attractiveness into three categories, using the Basic Additive Model (DEA) in two stages. The given categories were modeled as a pre-order by applying the Additive Utility Discriminant Method (UTADIS), obtaining a piecewise linear additive utility function. Through a cross-validation procedure leaving 10% of the firms out, we were allowed to assign the firms to classes in a more robust way.Finally, considering the best-practice firms, we constructed investment portfolios with different numbers of assets, using the additive utility function to determine each firm share. Once the portfolios were constructed, their average annual returns were compared with those of the most important stock market indices in the local capital market: S&P Merval and S&P/BYMA Argentina General. The results show that the portfolios returns are higher than those of the general indices in all cases.