Effective Portfolios – An Application of Multi-Criteria and Fuzzy Approach
| Autor: | Ewa Pośpiech |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
0209 industrial biotechnology
Organizational Behavior and Human Resource Management Computer science topsis method 0211 other engineering and technologies 02 engineering and technology Fuzzy logic c61 HB1-3840 020901 industrial engineering & automation effective portfolios Multi criteria Econometrics Expected return Economic theory. Demography ftopsis method Selection (genetic algorithm) c44 Marketing Risk level 021103 operations research fuzzy modelling Portfolio risk Fuzzy modelling HG1-9999 Business Management and Accounting (miscellaneous) portfolio selection g11 General Economics Econometrics and Finance Finance |
| Zdroj: | Folia Oeconomica Stetinensia, Vol 19, Iss 1, Pp 126-139 (2019) |
| ISSN: | 1898-0198 |
| Popis: | Research background: When selecting effective portfolios, the portfolio risk is minimized at the given expected return rate or the expected return rate is maximized with a given risk level. However, it is also worth using additional information, such as fundamental and market indicators to examine the companies’ economic and financial situation. Taking into account the chosen indicators, the initial selection of companies can be approached as a multi-criteria problem. Besides, the choice of the period from which data will be taken gives the opportunity to use non-standard tools. Purpose: The main aim of the article is to compare the profitability of effective portfolios obtained on the basis of a multi-criteria grouping of companies. Research methodology: In the study TOPSIS and FTOPSIS methods were used. Results: The results showed that the fuzzy approach could be an effective tool in obtaining more beneficial effective portfolios. Moreover, in the research, two sets of criteria differing by one indicator were used: in one of the approaches the P/E ratio was used, in the second the P/E ratio was replaced by the value of net profit per share – the analyses showed that the portfolios built on the basis of the groups for which the P/E ratio was used, had recorded better results. Novelty: The values of criterion evaluations from the considered years were treated as triangular fuzzy numbers – this enabled the use of the FTOPSIS method and a comparison of different approaches. |
| Databáze: | OpenAIRE |
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