Analysis of the Capital Market Via Stochastic Dominance and Multi-Criteria Interactive Method

Two levels can be identified in the article. The first one is related to a theoretical introduc tion to the known stochastic dominance approach and the interactive multi-objective program ming method; in the second we apply the aforesaid quantita tive approaches to making an "optimal" port folio struc ture of shares funds. We use the draft of stochastic dominance for a reduction in a relatively huge set of investment opportunities. The application of the stochastic dominance principle is determined by the stochastic character of the studied problem. The yield rate of shares funds is stated as a random variable. We also apply the Monte Carlo method in the invest ment decision-making procedure. For finding an "optimal" portfolio form, we use the interactive multi-criteria program ming method, the computational algorithm of which is based on maximization of positive deviation from aspiration levels of separate objec tive functions (criteria). Af ter all the proce dures, including successive revision of solutions offered by analysts according to deci sion-maker preferences, we obtain a final portfolio form of shares funds.