Abstract
The definition and construction of a composite indicator (CI) is a challenging operation. Here we propose a new technique to construct composite indicators that is based on the Box-Cox transformation. To illustrate our idea, a simulation study has been carried out. Results show that it is possible to find a parameter from the Box-Cox transformation that, in the least squares sense, ensures normality and, as a consequence, it opens new roads for researches in the field of the construction of CIs.