In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically distributed, this may cause inaccurate investment decisions. To address this issue, several alternative measures of risk have been proposed. In...

The construction of automatic Financial Trading Systems (FTSs) is a subject of research of high interest for both academic environment and financial one due to the potential promises by self-learning methodologies and by the increasing power of actual computers. In this paper we consider...

Investment performance evaluation is one of the pillars of finance and its techniques have refined throughout the years. This work focuses on the evaluation of the investment performance achieved through a top-down investment strategy analyzed using the Brinson model: a set of techniques that...

In this paper we use an evolutionary approach in order to infer the values of the parameters (weights of criteria, preference, indifference and veto thresholds) for developing the multicriteria method MURAME. According to the logic of preference disaggregation, the problem consists in finding...

In this paper a particular multicriteria decision aid approach is used in order to evaluate the creditworthiness of a set of about 14,000 Italian firms viewed as potential applicants for bank loans in the 2006-2008 period. The methodology is able to consider simultaneously all factors affecting...