Title: Stock selection using a multiple criteria hierarchical process in the Dow Jones index

Authors: Manuel Muñoz-Palma; Eva L. Miranda; Pavel A. Alvarez; María Bernal; Ernesto León-Castro

Addresses: Management Department, Universidad de Sonora, Hermosillo, Sonora, 83000, Mexico ' Decision-Making in Social Problems Research Group, Universidad Autónoma de Occidente, Culiacán, Sinaloa, 80020, Mexico ' Department of Economics and Management Sciences, Universidad Autónoma de Occidente, Blvd. Lola Beltrán, Culiacán, Sinaloa, 80020, Mexico ' Department of Economics and Management Sciences, Universidad Autónoma de Occidente, Blvd. Lola Beltrán, Culiacán, Sinaloa, 80020, Mexico ' Faculty of Economics and Administrative Sciences, Universidad Católica de la Santísima Concepción, Concepción 4090541, Chile

Abstract: One of the problems that investors often face is deciding on the stocks to include in an investment portfolio. The objective of the paper is the selection of investment portfolios considering the 30 main companies listed on the New York Stock Exchange of the Dow Jones Index. Portfolio selection in this index is carried out by generating a previous ranking of the shares with a novel approach that analyses the performance of the shares in a multiple criteria hierarchical process (MCHP). The ordering is generated with the hierarchical version of the ELimination Et Choix Traduisant la REalité (ELECTRE) III method using different decision criteria based on financial ratios.

Keywords: portfolio selection; Dow Jones; Markowitz model; profit and risk; MCHP; multiple criteria hierarchical process; muticriteria ranking; ELECTRE III.

DOI: 10.1504/IJISD.2023.127977

International Journal of Innovation and Sustainable Development, 2023 Vol.17 No.1/2, pp.67 - 84

Received: 05 Jan 2021
Accepted: 19 Jun 2021
Published online: 22 Dec 2022 *