A note on scale transformations in the PROMETHEE V method

As already noted by Mavrotas et al. (2006), the PROMETHEE V method for multi-attribute analysis of portfolio problems will fail to include an item in a portfolio if it has a negative net flow with respect to other items, although adding such an item might actually improve the entire portfolio. However, the model formulated by Mavrotas et al. introduces a bias in favor of large portfolios because the PROMETHEE V method is sensitive to scale transformations. The present paper analyzes this effect and proposes a method to correct it.