中文摘要：

为改进ELECTRE II多准则决策模型，将其应用于金融投资领域。通过引入净优势值概念，实现ELECTRE II模型的完全排序，以沪深300成份股为样本，精选财务指标作为评价因子，并通过修正Simos过程确定因子权重，构建股票投资组合。经比较和统计检验，策略具有显著的分层效应，排序靠前分位的股票组合收益率和夏普比率都显著优于沪深300指数。

英文摘要：

ELECTRE Ⅱ multi-criteria decision model is improved and applied to financial investment field. By introducing absolute advantage indices, a complete sort of the ELECTRE Ⅱ model is realized. By selecting fi- nancial indicators as the evaluation factors and determining the weights of factors in the modified ELECTRE model with revised Simos＇ procedure, the strategy of investment portfolios based on HS300 constituent stocks is constructed. By comparison and statistics test the strategy has a significant effect. The return and SHARP ratio of top score combination are significantly better than HS300 index.