Hybrid model for portfolio selection using TODIM method and Modern Portfolio Theory

Vol 55, 2023 - 160549
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Resumo

This article proposes a hybrid model for stock portfolio selection. Combining the
TODIM method with Modern Portfolio Theory. The model was applied in two stages, the first one ranking and selecting the actions according to performance evaluation criteria. The second stage optimizing the portfolio considering the efficient frontier concept. Four portfolios were prepared, two in the first stage (selection) and two in the second stage (optimization). They were compared with benchmarking (S&P500), considering return and risk indices. The portfolios resulting from the optimization process showed superior results compared to those resulting from the first stage
and the benchmarking. The combination of tools proved to be efficient in choosing and composing better performing portfolios.

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Instituições
  • 1 Universidade Federal de São Paulo
  • 2 Instituto Tecnológico de Aeronáutica
  • 3 Universidade Federal de São João del-Rei
  • 4 Universidade Federal Fluminense
Eixo Temático
  • 2. ADM – Apoio à Decisão Multicritério
Palavras-chave
Portfolio selection; Modern portfolio theory; TODIM method