TY - GEN
T1 - Scaling Issues in Additive Multicriteria Portfolio Analysis
AU - de Almeida, Adiel Teixeira
AU - Vetschera, Rudolf
AU - de Almeida, Jonatas Araujo
N1 - Theme: CSP
PY - 2014/1/1
Y1 - 2014/1/1
N2 - We discuss the effects of different utility scales on the results of multi-attribute portfolio problems. In particular, we analyze three effects: (i) the portfolio size effect, that the evaluation might be biased according to the number of items included in a portfolio, (ii) the baseline effect, which requires attention to the consequences of not including an item in a portfolio, and (iii) consistency across different aggregation sequences. We show that these three effects have similar causes related to the use of an interval utility scale, which allows for additive transformation of utilities. We discuss several ways to overcome these problems, and their consequences for utility and weight elicitation.
AB - We discuss the effects of different utility scales on the results of multi-attribute portfolio problems. In particular, we analyze three effects: (i) the portfolio size effect, that the evaluation might be biased according to the number of items included in a portfolio, (ii) the baseline effect, which requires attention to the consequences of not including an item in a portfolio, and (iii) consistency across different aggregation sequences. We show that these three effects have similar causes related to the use of an interval utility scale, which allows for additive transformation of utilities. We discuss several ways to overcome these problems, and their consequences for utility and weight elicitation.
KW - Baseline effect
KW - Consistent aggregation
KW - Portfolio composition
KW - Size effect
KW - Utility scaling
UR - http://www.scopus.com/inward/record.url?scp=84906887626&partnerID=8YFLogxK
U2 - 10.1007/978-3-319-11364-7_12
DO - 10.1007/978-3-319-11364-7_12
M3 - Contribution to proceedings
AN - SCOPUS:84906887626
SN - 9783319113630
VL - 184 LNBIP
T3 - Lecture Notes in Business Information Processing
SP - 131
EP - 140
BT - Lecture Notes in Business Information Processing
PB - Springer
T2 - Euro Working Group Workshops on Decision Support Systems, EWG-DSS 2013
Y2 - 29 May 2013 through 31 May 2013
ER -