Portfolio allocation with the TODIM method

作者：

Highlights：

• Empirical analysis of TODIM approach for portfolio allocation is presented.

• Detailed application of portfolio allocation with TODIM is provided.

• Sharpe ratio generated by TODIM is better than 1/N portfolios and similar to MVP.

• TODIM performs better than MVP from turnover and concentration risk perspective.

• TODIM method could be applied as an efficient portfolio screening mechanism.

摘要

•Empirical analysis of TODIM approach for portfolio allocation is presented.•Detailed application of portfolio allocation with TODIM is provided.•Sharpe ratio generated by TODIM is better than 1/N portfolios and similar to MVP.•TODIM performs better than MVP from turnover and concentration risk perspective.•TODIM method could be applied as an efficient portfolio screening mechanism.

论文关键词：Modern portfolio theory,Portfolio allocation,MCDM,TODIM,Portfolio optimization

论文评审过程：Received 27 June 2018, Revised 31 December 2018, Accepted 17 January 2019, Available online 26 January 2019, Version of Record 4 February 2019.

论文官网地址：https://doi.org/10.1016/j.eswa.2019.01.054