In view of the records of failures in rating agencies’ assessments for sorting countries’ quality of credit in degrees of default risk, this paper proposes a multicriteria sorting model using reference alternatives so as to allocate sovereign credit securities into three categories of risk. From a numerical application, what was observed from the results was a strong adherence of the model in relation to those of the agencies: Standard & Poor's and Moody's. Since the procedure used by the agencies is extremely subjective and often questioned, the contribution of this paper is to put forward the use of an objective and transparent methodology to sort these securities. Given the agencies’ conditions for undertaking the assessment, a complete similarity between the results obtained and the assignments of the agencies was not expected. Therefore, this difference arises from subjective factors that the agencies consider but the proposed model does not. Such subjective and questionable aspects have been partly responsible for the credibility of these credit agencies being diminished, especially after the 2007-2008 crisis.
Index tracking models build portfolios of limited size that replicate the performance of a market index. As the size of the index grows, it becomes impractical to find an optimal solution. As far as we know, this work proposes the first greedy randomized adaptive search procedure (GRASP) approach for index tracking. GRASP has proven to be efficient in combinatorial optimization problems and offers a solution construction procedure different from the standard index tracking optimization approaches, bringing a new perspective to the field. Results showed that the proposed GRASP approach found solutions with almost the same quality as those found by CPLEX solver in a smaller time, and the proposed local search component was competitive depending on the problem parametrization. The results found have practical implications concerning the achievement of good solutions by GRASP approaches in a smaller time when compared with hybrid genetic algorithms, and new perspectives for building GRASP heuristics for portfolio optimization problems.
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