Affiliation:
1. University of Economics in Katowice , Faculty of Management, Department of Statistics, Econometrics and Mathematics , 1 Maja 50, 40-287 Katowice , Poland
Abstract
Abstract
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.
Reference27 articles.
1. Ece, O., Uludag, A.S. (2017). Applicability of Fuzzy TOPSIS Method in Optimal Portfolio Selection and an Application in BIST. International Journal of Economics and Finance, 9 (10), 107–127. DOI: 10.5539/ijef.v9n10p107.10.5539/ijef.v9n10p107
2. Gupta, P., Inuiguchi, M., Mehlawat, M.K. (2011). A hybrid approach for constructing suitable and optimal portfolios. Expert Systems with Applications, 38, 5620–5632. DOI: 10.1016/j.eswa.2010.10.073.10.1016/j.eswa.2010.10.073
3. Hwang, C.L., Yoon, K. (1981). Multiple Attribute Decision Making: Methods and Application. Berlin: Springer Verlag.
4. Jahanshahloo, G.R., Hosseinzadeh Lotfi, F., Izadikhah, M. (2006). Extension of the TOPSIS Method for Decision-making Problems with Fuzzy Data. Applied Mathematics and Computation, 181 (2), 1544–1551. DOI: 10.1016/j.amc.2006.02.057.10.1016/j.amc.2006.02.057
5. Jajuga, K., Jajuga, K. (2015). Inwestycje – Instrumenty finansowe. Aktywa niefinansowe. Ryzyko finansowe. Inżynieria finansowa. Warszawa: Wydawnictwo Naukowe PWN.
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献