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Multiple Criteria Decision-Making Approach for the Selection of Stocks: an Application to the Russian Market

Student: Kornienko Denis

Supervisor: Elena Dimova

Faculty: HSE Banking Institute

Educational Programme: Financial Analyst (Master)

Year of Graduation: 2019

Currently, there are many approaches to formation of an investment portfolio on the stock market. A significant number of investors and investment funds in 2019 are developing new portfolio management techniques, identifying additional criteria and factors considered in the models. In this paper is investigated the possibility of using formalized alternative data in order to form a more attractive portfolio in terms of risk and profitability than using classical methods. This research can improve the existing multi-criteria models of stock portfolio formation by taking into account additional information. The proposed strategy allows to use changes in the market consensus forecast of analysts after conducted corporate actions to calculate the expected fluctuations in stock prices and to use obtained data in formation of an investment portfolio. the potential effect on portfolio performance from the application of the methodology is also quantified in the research.

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