Portfolio selection using the multiple attribute decision making model
This paper uses a Multiple Attribute Decision Making (MADM) model to improve the out-of-sample performance of a naïve asset allocation model. Under certain conditions, the naïve model has out-performed other portfolio optimization models, but it also has been shown to increase the tail risk. The MAD...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2021-05-01
|
| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/15057/IMFI_2021_02_Daugherty.pdf |