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Combinatorial portfolio selection with the ELECTRE III method: case study of the stock exchange of Thailand

Author

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  • Veera Boonjing
  • Laor Boongasame

Abstract

Various techniques of portfolio selection are applied to interpret the status of the market and predict the market's future trend, but they are not beneficial to small investors because these techniques should be administered by an expert. In addition, these techniques cannot help investors compare business on ambiguity multi-criteria and desire accumulation of data about the market. Therefore, portfolio selection with two significant financial ratios using the ELECTRE III method is proposed for small investors to make trading decisions. In order to demonstrate the effectiveness of this research, it is compared to the situation where a fix-percentage allocation existed and data was collected from the stock exchange of Thailand (SET). Empirical results show that portfolio selection with the ELECTRE III method offer significantly better ranking performance than the fix-percentage allocation method.

Suggested Citation

  • Veera Boonjing & Laor Boongasame, 2017. "Combinatorial portfolio selection with the ELECTRE III method: case study of the stock exchange of Thailand," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 7(4), pages 351-362.
    • Handle: RePEc:ids:afasfa:v:7:y:2017:i:4:p:351-362
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