An Evolutionary Approach to Preference Disaggregation in a MURAME-Based Credit Scoring Problem

21 Pages Posted: 5 May 2012

See all articles by Marco Corazza

Marco Corazza

Ca Foscari University of Venice - Dipartimento di Economia

Stefania Funari

Ca Foscari University of Venice - Department of Management

Riccardo Gusso

Independent

Date Written: April 4, 2012

Abstract

In this paper we use an evolutionary approach in order to infer the values of the parameters (weights of criteria, preference, indifference and veto thresholds) for developing the multicriteria method MURAME. According to the logic of preference disaggregation, the problem consists in finding the parameters that minimize the inconsistency between the model obtained with those parameters and that one connected with a given reference set of decisions revealed by the decision maker; in particular, two kinds of functions are considered in this analysis, representing a measure of the model inconsistency compared to the actual preferential system. In order to find a numerical solution of the mathematical programming problem involved, we adopt an evolutionary algorithm based on the Particle Swarm Optimization (PSO) method, which is an iterative heuristics grounded on swarm intelligence. The proposed approach is finally applied to a creditworthiness evaluation problem in order to test the methodology on a real data set provided by an Italian bank.

Keywords: Preference disaggregation, Murame, Particle swarm optimization

JEL Classification: C6, G2

Suggested Citation

Corazza, Marco and Funari, Stefania and Gusso, Riccardo, An Evolutionary Approach to Preference Disaggregation in a MURAME-Based Credit Scoring Problem (April 4, 2012). Department of Management, Università Ca' Foscari Venezia Working Paper No. 5/2012. Available at SSRN: https://ssrn.com/abstract=2051148 or http://dx.doi.org/10.2139/ssrn.2051148

Marco Corazza

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

Stefania Funari (Contact Author)

Ca Foscari University of Venice - Department of Management ( email )

San Giobbe, Cannaregio 873
Venice, 30121
Italy

Riccardo Gusso

Independent ( email )

No Address Available

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