Intelligent Decision Aiding Systems Based on Multiple Criteria for Financial Engineering
This book provides a new point of view on the field of financial engineering, through the application of multicriteria intelligent decision aiding systems. The aim of the book is to provide a review of the research in the area and to explore the adequacy
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Applied Optimization Volume 38 Series Editors: Panos M. Pardalos University of Florida, U.S A. Donald Hearn University of Florida, U.S.A.
The titles published in this series are listed at the end of this volume.
Intelligent Decision Aiding Systems Based on Multiple Criteria for Financial Engineering by
Constantin Zopounidis and Michael Doumpos Technical University of Crete, Deptartment of Production Engineering and Management, Chania, Greece
Springer-Science+Business Media, B.V.
A C.I.P. Catalogue record for this book is available from the Library of Congress.
ISBN 978-1-4613-7110-6 DOI 10.1007/978-1-4615-4663-4
ISBN 978-1-4615-4663-4 (eBook)
Printed on acid-free paper
AII Rights Reserved © 2000 Springer Science+Business Media Dordrecht Originally published by Kluwer Academic Publishers in 2000
No part of the material protected by this copyright notice may be reproduced or utilized in any form or by any means, electronic or mechanical, including photocopying, recording or by any information storage and retrieval system, without written permission from the copyright owner
This volume is dedicated to: Helene Zopounidis and Kleanthi Koukouraki Chris Doumpos and Catherine Doumpos
ACKNOWLEDGMENTS
We are grateful to Kiki Kosmidou, Ph.D. candidate at the Technical University of Crete, for her important notes on an earlier version of the book and her great help in the preparation of the final manuscript.
"Philosophy is the highest music" Plato, Phaedo
TABLE OF CONTENTS
PROLOGUE CHAPTER 1: FINANCIAL ENGINEERING 1. Mathematical modeling and financial management 2. Financial engineering 3. The relationship between financial engineering and financial risk management 4. Financial engineering methodologies 5. The multicriteria character of financial engineering 5.1 The investment decision 5.2 Portfolio management 6. Multicriteria decision aid 6.1 Brief historical overview 6.2 Decision aid activity 6.3 MCDA approaches 6.3 .1 Methodological approach oriented classification 6.3 .2 Problem type oriented classification 6.4 MCDA contributions to financial engineering
CHAPTER 2: DECISION SUPPORT SYSTEMS 1. Decision support systems: General framework and main features 2. DSSs' structure 2.1 The user interface 2.2 The database 2.3 The model base 3. DSSs applications in financial engineering 4. Illustrations from credit granting and portfolio management 4.1 Credit granting decisions: The FINCLAS system 4.1.1 Problem domain 4.1.2 General structure ofthe FINCLAS system 4 .1.3 The database
XV
1 1 3 5 9 12 14 16 17 18 19 21 21 29 31
37 37 39 40 42 44
47 48 48 48
49 50
xii 4.1.4 Financial model base 4.1.5 Preference disaggregation sorting methods 4.2 Portfolio management: The INVESTOR system 4.2.1 Problem domain 4.2.2 Structure of the INVESTOR system 4.2.3 The database 4.2.4 The model base 5. DSSs' contribution and limitations Appendix: The UTADIS methods and its variants
CHAPTER 3: EXPERT SYSTEMS
53 59 61 61 63 63 66 71 74
83
1. General framework 2. ESs' definition and basic characteristics 3. ESs' structure
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