EVALUATION OF INVESTMENT PORTFOLIO BY APPLICATION OF MULTI-CRITERIA DECISION MAKING METHODS USING ROBO-ADVISOR


Vitaliy Kobets

Abstract: Paper describes the creation of algorithm for automated assessment of investment portfolio attractiveness. Portfolios selection procedure (algorithm) are considered. Comparison of multiple criteria evaluation methods and comparison of the prioritization ranking of different investment projects (portfolios) following changes to the requirement weights are introduced. Evolving of robo-advisor systems for portfolio management is described. Research goal is development of algorithm for automated assessment of investment attractiveness of portfolios using investment criteria. Ex-ante (predict) and ex-post (assess) evaluation are compered for project evaluation. Research methods include algorithms for assessing the investment attractiveness of portfolios using finance criteria. To integrate these criteria scoring system for selection of investment portfolios was implemented with transformation model from quantitative criteria to qualitative ones. Scoring method was applied for different investment portfolios with cryptocurrencies to choose most attractive for investors.

Keywords: Risk assessment; Investment portfolio; Robo-advisor; Investment attractiveness criteria; Algorithm; Scoring method

DOI: 10.24874/PES04.03.008

Recieved: 15.01.2022  Accepted: 28.06.2022  UDC: 336.581:[005.53:004.021]

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