Related papers: Comparing Methodologies for Ranking Alternatives: …
Stochastic optimization algorithms have been successfully applied in several domains to find optimal solutions. Because of the ever-growing complexity of the integrated systems, novel stochastic algorithms are being proposed, which makes…
Modern methods for multi-criteria assessment (MCA), such as Data Envelopment Analysis (DEA), Stochastic Frontier Analysis (SFA), and Multiple Criteria Decision-Making (MCDM), are utilized to appraise a collection of Decision-Making Units…
Estimating risk measures such as large loss probabilities and Value-at-Risk is fundamental in financial risk management and often relies on computationally intensive nested Monte Carlo methods. While Multi-Level Monte Carlo (MLMC)…
In this paper we explore several approaches for sampling weight vectors in the context of weighted sum scalarisation approaches for solving multi-criteria decision making (MCDM) problems. This established method converts a multi-objective…
The TODIM method (an acronym in Portuguese for interactive and multiple criteria decision-making) with entropy weights is influenced by rank reversal, a phenomenon where the order of two alternatives changes following the addition of…
Banks' performance is an important topic for both professionals and researchers. Given the important literature on this subject, this paper aims to bring an up-to-date and organized review of literature on the determinants of banks…
The process of multiple criteria decision making (MCDM) is of determining the best choice among all of the probable alternatives. The problem of supplier selection on which decision maker has usually vague and imprecise knowledge is a…
Multi-Criteria Decision Analysis (MCDA) is extensively used across diverse industries to assess and rank alternatives. Among numerous MCDA methods developed to solve real-world ranking problems, TOPSIS remains one of the most popular…
In the rapidly evolving domain of Recommender Systems (RecSys), new algorithms frequently claim state-of-the-art performance based on evaluations over a limited set of arbitrarily selected datasets. However, this approach may fail to…
Financial fraud detection is an important problem with a number of design aspects to consider. Issues such as algorithm selection and performance analysis will affect the perceived ability of proposed solutions, so for auditors and…
Multi-criteria decision support systems are used in various fields of human activities. In every alternative multi-criteria decision making problem can be represented by a set of properties or constraints. The properties can be qualitative…
In this book we introduce a new procedure called \alpha-Discounting Method for Multi-Criteria Decision Making (\alpha-D MCDM), which is as an alternative and extension of Saaty Analytical Hierarchy Process (AHP). It works for any number of…
The M6 Competition assessed the performance of competitors using a ranked probability score and an information ratio (IR). While these metrics do well at picking the winners in the competition, crucial questions remain for investors with…
In this study, we propose a multicriteria group decision making (MCGDM) algorithm under uncertainty where data is collected as intervals. The proposed MCGDM algorithm aggregates the data, determines the optimal weights for criteria and…
The ability to compute reward-optimal policies for given and known finite Markov decision processes (MDPs) underpins a variety of applications across planning, controller synthesis, and verification. However, we often want policies (1) to…
In this paper, we investigate the credit risk in the loan portfolio of banks following different business models. We develop a data-driven methodology for identifying the business models of the 365 largest European banks that is suitable…
In the aftermath of the financial crisis, the growing literature on financial networks has widely documented the predictive power of topological characteristics (e.g. degree centrality measures) to explain the systemic impact or systemic…
Context: Financial system stability is determined by the condition of the banking system. A bank failure can destroy the stability of the financial system, as banks are subject to systemic risk, affecting not only individual banks but also…
Credit ratings are one of the primary keys that reflect the level of riskiness and reliability of corporations to meet their financial obligations. Rating agencies tend to take extended periods of time to provide new ratings and update…
The pairwise winning indices, computed in the Stochastic Multicriteria Acceptability Analysis, give the probability with which an alternative is preferred to another taking into account all the instances of the assumed preference model…