Framework to assist investment portfolio generation for financial sector
Several variables are influencing the financial performance of listed companies in the stock exchange, making the choice of an ideal investment portfolio complex. Multicriteria decision support methods emerge as a potential tool to support the investor in the asset selection process. Thus, this pap...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universidade Nove de Julho - Uninove
2023-06-01
|
| Series: | Exacta |
| Subjects: | |
| Online Access: | https://periodicos.uninove.br/exacta/article/view/18687 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850045225451388928 |
|---|---|
| author | Breno Barros Telles do Carmo Pablo Picasso Morais de Medeiros Thomas Edson Espíndola Gonçalo Gabriela Colaço Correia |
| author_facet | Breno Barros Telles do Carmo Pablo Picasso Morais de Medeiros Thomas Edson Espíndola Gonçalo Gabriela Colaço Correia |
| author_sort | Breno Barros Telles do Carmo |
| collection | DOAJ |
| description |
Several variables are influencing the financial performance of listed companies in the stock exchange, making the choice of an ideal investment portfolio complex. Multicriteria decision support methods emerge as a potential tool to support the investor in the asset selection process. Thus, this paper proposes a framework to assist investors in generating an investment portfolio in financial sector companies considering the fundamentalist analysis approach. Based on selected investors, the study defined the appropriate minimum performance filters, criteria, and weights for stock selection in the financial sector. The portfolio was established based on investor constraints using the PROMETHEE V method. As a subsequent step, an entire linear programming model was implemented to define, given the available budget, the amount of capital to be allocated to each asset of the portfolio. Compared to other publications, the proposed model and assembling the stocks portfolio proposes capital allocation based on previously defined restrictions. Also, the research provides investors with a clear and accurate method for selecting a stock portfolio and allowing customization of the model.
|
| format | Article |
| id | doaj-art-dff1773f18f247fd9f3183cc034191ae |
| institution | DOAJ |
| issn | 1678-5428 1983-9308 |
| language | English |
| publishDate | 2023-06-01 |
| publisher | Universidade Nove de Julho - Uninove |
| record_format | Article |
| series | Exacta |
| spelling | doaj-art-dff1773f18f247fd9f3183cc034191ae2025-08-20T02:54:43ZengUniversidade Nove de Julho - UninoveExacta1678-54281983-93082023-06-0121210.5585/exactaep.2021.18687Framework to assist investment portfolio generation for financial sectorBreno Barros Telles do Carmo0https://orcid.org/0000-0002-7506-7037Pablo Picasso Morais de Medeiros1https://orcid.org/0000-0002-0879-340XThomas Edson Espíndola Gonçalo2https://orcid.org/0000-0003-4430-9547Gabriela Colaço Correia3https://orcid.org/0000-0001-9281-5829Universidade Federal do Ceará / Departamento de Engenharia de Produção / Fortaleza – CEUniversidade Federal Rural do Semiárido (UFERSA) - Mossoró, Rio Grande do NorteUniversidade Federal Rural do Semiárido (UFERSA) - Mossoró, Rio Grande do NorteUniversidade Federal Rural do Semiárido (UFERSA) - Mossoró, Rio Grande do Norte Several variables are influencing the financial performance of listed companies in the stock exchange, making the choice of an ideal investment portfolio complex. Multicriteria decision support methods emerge as a potential tool to support the investor in the asset selection process. Thus, this paper proposes a framework to assist investors in generating an investment portfolio in financial sector companies considering the fundamentalist analysis approach. Based on selected investors, the study defined the appropriate minimum performance filters, criteria, and weights for stock selection in the financial sector. The portfolio was established based on investor constraints using the PROMETHEE V method. As a subsequent step, an entire linear programming model was implemented to define, given the available budget, the amount of capital to be allocated to each asset of the portfolio. Compared to other publications, the proposed model and assembling the stocks portfolio proposes capital allocation based on previously defined restrictions. Also, the research provides investors with a clear and accurate method for selecting a stock portfolio and allowing customization of the model. https://periodicos.uninove.br/exacta/article/view/18687StocksFundamentalist analysisMulticriteria methodsPROMETHEE V |
| spellingShingle | Breno Barros Telles do Carmo Pablo Picasso Morais de Medeiros Thomas Edson Espíndola Gonçalo Gabriela Colaço Correia Framework to assist investment portfolio generation for financial sector Exacta Stocks Fundamentalist analysis Multicriteria methods PROMETHEE V |
| title | Framework to assist investment portfolio generation for financial sector |
| title_full | Framework to assist investment portfolio generation for financial sector |
| title_fullStr | Framework to assist investment portfolio generation for financial sector |
| title_full_unstemmed | Framework to assist investment portfolio generation for financial sector |
| title_short | Framework to assist investment portfolio generation for financial sector |
| title_sort | framework to assist investment portfolio generation for financial sector |
| topic | Stocks Fundamentalist analysis Multicriteria methods PROMETHEE V |
| url | https://periodicos.uninove.br/exacta/article/view/18687 |
| work_keys_str_mv | AT brenobarrostellesdocarmo frameworktoassistinvestmentportfoliogenerationforfinancialsector AT pablopicassomoraisdemedeiros frameworktoassistinvestmentportfoliogenerationforfinancialsector AT thomasedsonespindolagoncalo frameworktoassistinvestmentportfoliogenerationforfinancialsector AT gabrielacolacocorreia frameworktoassistinvestmentportfoliogenerationforfinancialsector |