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Financial modelling with multiple criteria decision making: A systematic literature review

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  • Adiel Teixeira de Almeida-Filho
  • Diogo Ferreira de Lima Silva
  • Luciano Ferreira

Abstract

Models and methods of multi-criteria decision making/aiding (MCDM/A) work as viable alternatives to deal with the complexity and the multiple objectives that financial decisions can include. This paper presents a study about the state-of-the-art involving the use of MCDM/A for financial decisions by undertaking a systematic literature review (SLR) that seeks to respond to a set of relevant questions on this field. It contributes to the literature by setting out a categorisation of the kinds of problems approached in the reviewed papers and by verifying a set of relevant research questions for which statistical tools are used. Therefore, this paper includes an analysis of the main financial criteria and the MCDM/A methods used for financial decisions; the problematics covered by the papers; and identifying the main authors, journals and financial areas supported by these models. Throughout the paper, other reviews are discussed and literature prior to and after the sub-prime crisis is analysed.

Suggested Citation

  • Adiel Teixeira de Almeida-Filho & Diogo Ferreira de Lima Silva & Luciano Ferreira, 2021. "Financial modelling with multiple criteria decision making: A systematic literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 72(10), pages 2161-2179, October.
    • Handle: RePEc:taf:tjorxx:v:72:y:2021:i:10:p:2161-2179
    DOI: 10.1080/01605682.2020.1772021
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    Cited by:

    1. Julio Cezar Soares Silva & Adiel Teixeira de Almeida Filho, 2023. "A systematic literature review on solution approaches for the index tracking problem in the last decade," Papers 2306.01660, arXiv.org, revised Jun 2023.

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