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Erschienen in:
2016 | OriginalPaper | Buchkapitel
Scaling Issues in MCDM Portfolio Analysis with Additive Aggregation
verfasst von : Carolina Lino Martins, Jonatas Araujo de Almeida, Mirian Batista de Oliveira Bortoluzzi, Adiel Teixeira de Almeida
Erschienen in: Decision Support Systems VI - Addressing Sustainability and Societal Challenges
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Abstract
This paper discusses a typically scaling issue, which can arise in the context of multicriteria (MCDM) portfolio analysis: the portfolio size effect. By analyzing previous application this issue may happen by the impact of an additive aggregation for the standard portfolio construction model. Thus, it has been shown that the scaling issue may arise even when baseline correction procedures are adopted and this paper suggests that additionally to the baseline adjustment, a ratio scale correction may be necessary, depending on the combination of values and constraints considered by the problem.