A multi-criteria decision model for fixed income sector allocation for endowment funds
Financial Modeling Applications and Data Envelopment Applications
ISBN: 978-1-84855-878-6, eISBN: 978-1-84855-879-3
Publication date: 13 October 2009
Abstract
Bond investing requires decision-making on multiple levels. Some criteria are qualitative, some are quantitative, and there may be conflicting objectives such as avoidance of credit risk versus need for income. Since managers of endowment funds must allocate their assets based on numerous dimensions, a multi-criteria decision model can help to evaluate competing criteria. We describe the Analytical Hierarchy Process (AHP), which allows investors to integrate multiple decision criteria, and apply the model to the sector allocation problem faced by managers of endowment portfolios. The AHP gives rise to a flexible model for bond investors for a range of economic scenarios, risk profiles, and time horizons.
Citation
Hogan, K.M., Lipton, A.F. and Olson, G.T. (2009), "A multi-criteria decision model for fixed income sector allocation for endowment funds", Lawrence, K.D. and Kleinman, G. (Ed.) Financial Modeling Applications and Data Envelopment Applications (Applications of Management Science, Vol. 13), Emerald Group Publishing Limited, Leeds, pp. 71-85. https://doi.org/10.1108/S0276-8976(2009)0000013007
Publisher
:Emerald Group Publishing Limited
Copyright © 2009, Emerald Group Publishing Limited