The selection of investment portfolios is a complex problem, encompassing multiple and conflicting criteria. We propose an integrated multi-criteria decision-making (MCDM) model composed of the Criteria Importance Through Intercriteria Correlation (CRITIC) method and Grey Relational Analysis...

We propose a new multivariate order based on a concept that we will call extremality". Given a unit vector, the extremality allows to measure the "farness" of a point with respect to a data cloud or to a distribution in the vector direction. We establish the most relevant properties of this...

We investigate a robust version of the portfolio selection problem under a risk measure based on the lower-partial moment (LPM), where uncertainty exists in the underlying distribution. We demonstrate that the problem formulations for robust portfolio selection based on the worst-case LPMs of...

This paper analyses whether Z-score, as examined by Altman and other researchers, can predict correctly company failures. The empirical analysis concentrates on the construction companies listed in Athens Exchange, for the period 1995-2006, which coincides with significant construction activity...

Filtering and parameter estimation techniques from hidden Markov Models are applied to a discrete time asset allocation problem. For the commonly used mean-variance utility explicit optimal strategies are obtained.