Portfolio Selection Using the ADELAIS Multiobjective Linear Programming System.

The ADELAIS (Aide a la DEcision pour systemes Lineaires multicriteres par AIde a la Structuration des preferences), multiobjective linear programming system is proposed as a decision tool for the selection of stock portfolios. A portfolio selection model is developed and applied to a set of fifty two stocks from the Athens Stock Exchange for the two years period of 1989-1990. On the basis of this model, ADELAIS is used to design and evaluate alternative portfolios by considering a set of well known criteria such as return, price earnings ratio, volume of transactions and dividend yield. A final portfolio of maximal utility is obtained as an outcome of an interactive process of individual inter-alternative preference modelling. Citation Copyright 1998 by Kluwer Academic Publishers.