Abstract
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.
Publisher
Universidad Nacional de Colombia
Reference52 articles.
1. Albadvi, A., Chaharsooghi, S. K., & Esfahanipour, A. (2007). Decision making in stock trading: An application of PROMETHEE. European Journal of Operational Research, 177(2), 673-683. doi:10.1016/j.ejor.2005.11.022
2. Aldalou, E., & Perçin, S. (2018). Financial Performance Evaluation of Turkish Airline Companies Using Integrated Fuzzy Ahp Fuzzy Topsis Model*. Uluslararası İktisadi ve İdari İncelemeler Dergisi. doi:10.18092/ulikidince.347925
3. Allen, F., & Karjalainen, R. (1999). Using genetic algorithms to find technical trading rules. Journal of Financial Economics, 51(2), 245-271. doi:10.1016/s0304-405x(98)00052-x
4. Altınırmak, S., Gülcan2, B., & Çağlar, K. (2016). Analyzing Securities Investment Trusts Traded In Bist Via Ahp-Promethee Methodology. Journal of International Scientific Publications, 10(1), 458–472.
5. Alvarez, P., Muñoz-Palma, M., Miranda-Espinoza, L., Lopez-Parra, P., & León-Castro, E. (2020). Enfoque multicriterio jerárquico para el análisis de la competitividad de las regiones en México. Inquietud empresarial, 20(2), 29-51.