Quantitative and qualitative models exist for the evaluation of financial risk. Some evaluation models are
based on requiring either inputs of historical data or expert opinions.
In this paper, we have evaluated the risk in an investment portfolio of a public utilities company in the
region of Friuli Venezia Giulia, North East of Italy. For the evaluation, the AHP, a classic model
proposed by Saaty, has been used, recognising the hierarchy structure in criteria and sub-criteria defined
by the experiences of sector operators and compared with pairs.
Five portfolios proposed by financial promoters and five obtained randomly have been compared,
considering the knowledge and preferences of the company managers and a level of risk equal to the level
proposed by banks.
We consider the affiliation sector of the portfolio titles and the geography, meaning the Country of
emission of titles, to analyse country risk and the currency of issue of titles to analyse exchange rate risk.
For each criterion, experts evaluated sub-criteria. To identify the weights of both algorithms related to the
differentiation of titles within a portfolio and to identify the criteria based on the socioeconomic
knowledge within a financial framework, experts relied on involved operators.
The flexibility of this instrument translates into the ability to use this instrument to consider either
qualitative aspects of the risk or quantitative and semi quantitative aspects. The instrument can be
considered a usual instrument in the management of public utilities companies, as long as the instrument
is linked to the knowledge of managers.
