A Multicriteria Extension of the Efficient Market Hypothesis

Challenging the Efficient Market Hypothesis (EMH) has been a recurrent topic for researchers and practitioners since its formulation. Hundreds of empirical studies claim to either prove or disprove EMH by means number heterogeneous methods. Even though is usually adjusted measure risk, there lack formal analysis within multiple-criteria context. In this paper, we propose extension that accommodates foundations decision analysis. To end, rely on family parametric signed dissimilarity measures assess multidimensional performance differences. Since normalization critical step in our approach avoid meaningless comparisons, present two novel theoretical results connecting different techniques. This multicriteria provides common framework which add evidence regarding testing.