The objective of the article is to present a multicriteria hierarchical process (MCHP) approach to decision making in the selection of stocks of the main companies of the Dow Jones index. One of the problems that investors often face is deciding which stocks should be included in an investment portfolio. The article allows investors to answer this question, through an MCHP approach and the ELECTRE III method using different criteria based on the financial relationships of profitability, liquidity, market, and efficiency. In this process, the investor generates a global ranking and a ranking of each subgroup of criteria regarding the investor’s preferences. El objetivo del artículo es presentar un enfoque de proceso jerárquico multicriterio para la toma de decisiones en la selección de acciones de las principales empresas que cotizan en el índice Dow Jones. Uno de los problemas que suelen enfrentar los inversores es decidir qué acciones deben incluirse en un portafolio de inversión. El artículo permite a los inversores dar respuesta a esa pregunta, mediante un enfoque jerárquico y el método ELECTRE III utilizando diferentes criterios basados en las ratios financieras de rentabilidad, liquidez, mercado y eficiencia. En este proceso el inversor genera un ordenamiento a un nivel global y un ordenamiento en subgrupo de criterios considerando sus preferencias.

One of the problems investors often face is deciding on the stocks to include in an investment portfolio. Hence, this article seeks to select investment portfolios considering the 30 leading companies listed on the New York Stock Exchange (NYSE) of the Dow Jones Index. Portfolio selection in this index is carried out by generating a previous ranking of the shares with a novel approach that analyzes their performance using a multiple criteria hierarchical process (MCHP). The current research allows the evaluation of shares and optimizing a portfolio, while developing a procedure that supports a decision-making process for organizations or practitioners to invest in the stock market. The results of analyzing the NYSE generated a portfolio that can be used for interested investors. The main contribution of the application of MCHP and Markowitz model is related to the possibility of replicating the developed procedure to select portfolios in other stock markets.