The Financial Portfolio Selection Using the Multiple Criteria Hierarchical Process and the Markowitz Model

Portfolio selection is a significant problem as an investment option. As a part of risk reduction, the diversification strategy is concerned with stock evaluation. In the present paper, a non-classical approach is implemented to evaluate the Mexican Stock Exchange. A Multiple Criteria Hierarchical Process (MCHP) and ELECTRE-III are applied to evaluate the shares based on financial indicators and a ranking for the portfolio conformation is generated. The application of the Markowitz model helped to obtain optimal portfolios. The resulting portfolios selected by the MCHP were compared with the Price and Quotation Index of the Mexican Stock Exchange, showing the former derived higher profit.