Article ID: | iaor20121867 |
Volume: | 219 |
Issue: | 1 |
Start Page Number: | 198 |
End Page Number: | 200 |
Publication Date: | May 2012 |
Journal: | European Journal of Operational Research |
Authors: | Vetschera Rudolf, de Almeida Adiel Teixeira |
Keywords: | decision theory: multiple criteria |
As already noted by , the PROMETHEE V method for multi‐attribute analysis of portfolio problems will fail to include an item in a portfolio if it has a negative net flow with respect to other items, although adding such an item might actually improve the entire portfolio. However, the model formulated by Mavrotas et al. introduces a bias in favor of large portfolios because the PROMETHEE V method is sensitive to scale transformations. The present paper analyzes this effect and proposes a method to correct it.