A multi-criterion approach for selecting attractive portfolio

According to the conventional theory of finance, maximizing return with minimum risk should be a hallmark of every successful investor. However, contrary to the theoretical expectations of the conventional theory, the tests achieved on most financial markets have revealed the existence of other variables. Morever, behavioural aspects, like the investor's attitude to solvency and liquidity, are not taken into consideration. Then the problem of selecting an attractive portfolio is a multi-criteria issue which should be tackled by using the appropriate techniques. A multi-criterion approach is proposed and applied to the Tunisian Stock Market to select an attractive portfolio.