Multicriteria Portfolio Construction with Python

This book provides a comprehensive and unified methodology for portfolio management and multicriteria decision analysis (MCDA), integrating portfolio selection and optimization subsystems. It offers a detailed implementation of multicriteria algorithms in Python, with targeted remarks and comments to aid understanding. The book covers modern portfolio theory, multicriteria decision aid methods, and a review of the literature. It is intended for a diverse readership, including fund managers, risk managers, investment advisors, and students.

Format: Paperback / softback
Length: 176 pages
Publication date: 18 October 2021
Publisher: Springer Nature Switzerland AG

This comprehensive book delves into the realms of portfolio management and multicriteria decision analysis (MCDA), offering a transparent and unified methodology for constructing portfolios. Its most significant aspect lies in the proposed methodological framework, which seamlessly integrates two individual subsystems: the portfolio selection subsystem and the portfolio optimization subsystem. Furthermore, the book excels in providing a detailed, step-by-step implementation of the proposed multicriteria algorithms in Python. Each step of the implementation is meticulously described, elucidating the input of data and the extraction of results. The algorithms are organized into small code cells, accompanied by targeted remarks and comments, to aid the reader in comprehending their mechanics fully. Additionally, readers are provided with a link to access the source code through GitHub, further enhancing their understanding of the material. This work can also be regarded as a valuable reference, presenting the latest research in portfolio construction with multiple and complex investment objectives and constraints. The book is organized into eight chapters, beginning with an introductory chapter that provides a brief overview of modern portfolio theory. Chapter 2 delves into the fundamental issues of modern portfolio theory, while Chapter 3 concisely outlines various multicriteria decision-making methods, whether discrete or continuous. Chapter 4 offers a comprehensive review of the published literature in the field of multicriteria portfolio management. In Chapter 5, an innovative and integrated multicriteria portfolio construction methodology is developed. Chapter 6 showcases a web-based information system, where the proposed methodological framework has been implemented. Chapter 7 presents an experimental application of the proposed methodology, demonstrating its practical utility.

Weight: 296g
Dimension: 235 x 155 (mm)
ISBN-13: 9783030537456
Edition number: 1st ed. 2020