Hybrid model for selecting investment assets using the TODIM-θ method and Modern Portfolio Theory

• Ano de defesa: 2024
• Autor(a) principal: Puppo, Bruna Dutra [UNIFESP]
• Orientador(a): Sbruzzi, Elton Felipe
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• dARK ID: ark:/48912/001300001r528
• Idioma: eng
• Instituição de defesa: Universidade Federal de São Paulo
• Palavras-chave em Português: TODIM Method; Portfolio Optmization; Investor Profile
• Link de acesso: https://hdl.handle.net/11600/71669

This study presents the development of a hybrid model for the selection and optimization of investment portfolios, taking into account different investor profiles. The model employs the TODIM-θ method, a multi-criteria decision tool based on Prospect Theory and Modern Portfolio Theory, for optimization. The hybrid model was tested with real data from the stocks that make up the S&P 500 index between 2018 and 2022. It proved to be effective in handling large volumes of data and considering multiple alternatives and criteria, which makes it especially suitable for the selection of investments. The hybrid model represents a significant advance in the integration of the concepts of behavioral finance and optimization. By skillfully combining elements from both domains, the model builds portfolios that not only align with investor expectations but also achieve optimal results by adjusting their intrinsic values. Furthermore, the model can work quickly and efficiently, presenting results in a few minutes, without requiring high computational capacity. This demonstrates its practicality and applicability in the real world of investments.