A benefit-to-cost ratio based approach for portfolio selection under multiple criteria with incomplete preference information

Using the FITradeoff Decision Support System to Support a Brazilian Compliance Organization Program

The technology can support multi-criteria decision-making processes, allowing managers to identify efficient solutions to complex problems in a structured and rational way. Specially, in time of crises, the use of Decision Support System (DSS) is useful since these situations demand greater accuracy in the decision-making process. Therefore, this study shows the usefulness of the Decision Support System constructed for the FITradeoff method in a practical context involving a decision-making in time of crisis. In special, in this study, the applicability of the FITradeoff DSS is discussed to solve an important problem involving a Brazilian Company. The FITradeoff DSS was employed for a compliance-program problem, in which a company sought to improve its performance in relation to the program. This problem is particularly significant in Brazil where the search for compliance programs has been increasing since the adoption of the anticorruption law. Thus, twenty-eight alternatives were created, and these alternatives were evaluated against five criteria. As a result, most of the alternatives in the top of the ranking are related to Internal Communication aspect. Hence, the DM considered that these alternatives are sufficient to direct the efforts to execute the Compliance Program, and in special this theme can be the focus in this company. Furthermore, in view of recurring crises around the world, companies must identify ways to ensure their internal processes support the sustainability of their business. For decision making in times of crisis, the DSS of the FITradeoff method is an effective tool allowing decision makers to handle complex decisions.

A Study on Portfolio Selection Based on Fuzzy Linear Programming

Portfolio management is the allocation of funds in the hands of the investor to ensure minimum risk and maximum profitability among the existing securities. In the finance sector related to portfolio management, many approaches, theories, and models have been developed. In this study, a new model is proposed. The basic objective of this model is to minimize the risk of portfolio while maximizing expected return of the portfolio. The proposed model is based on the Mean Absolute Deviation Model (MAD) proposed by Konno-Yamazaki. Considering the uncertainty of expected returns in the Mean Absolute Deviation Model, the problem was remodeled with fuzzy logic approach. In the application section, the proposed model has been applied to two different indexes, namely Istanbul Stock Exchange (ISE-30) and Standard & Poor’s 500 (S&P 500). In application, 64-month return movements of stocks traded in both indexes between 01.01.2016-30.04.2021 were used. In order to examine the effectiveness of the model, firstly, monthly return data for both indexes were modeled with the Mean-Absolute Deviation method and the Mean Variance method. Then, the same data were modeled with the proposed method. In the conclusion section of the study, the results obtained from each method were compared.