SVIKOR: MCDM with stochastic data, subjective expert judgments and different risk attitudes of decision makers

D. Di Caprio, F. J. Santos Arteaga, M. Tavana

We extend the VIKOR multi-criteria decision making methodology to solve problems characterized by:
- stochastic data determining the coefficient of variation from each decision alternative;
- subjective judgments of experts when assigning relative importance weights to the different decision criteria: the corresponding weights are elicited using the fuzzy analytic hierarchy process method;
- differences in the attitude of decision makers (DMs) towards risk and its effect on their subjective beliefs.
We present a case study in the banking industry to demonstrate the applicability of the proposed method. We also compare our results with the results derived from a stochastic version of the super-efficiency data envelopment analysis (DEA) model to exhibit the efficacy of the procedures and algorithms. In particular, we illustrate how differences in the beliefs of DMs modify the ranking obtained relative to the one derived from the stochastic super-efficient DEA model.

Palabras clave: Multi-criteria decision making; VIKOR method; Stochastic data; Subjective judgments; Risk attitudes; Stochastic super-efficient DEA.

X05.1 Grupo de Decisión Multicriterio II
7 de septiembre de 2016  12:30
0.02 - Aula de proyectos 1

J. M. Ferrer Caja, M. T. Ortuño Sánchez, G. Tirado Domínguez, B. Vitoriano Villanueva

I. Gago Carro, B. Vitoriano Villanueva, C. Gamallo Chicano

B. Vitoriano Villanueva, M. T. Ortuño Sánchez, G. Tirado Domínguez, F. J. Martín Campo, J. M. Ferrer Caja