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Effective Portfolios – An Application of Multi-Criteria and Fuzzy Approach

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  • Pośpiech Ewa

    (University of Economics in Katowice, Faculty of Management, Department of Statistics, Econometrics and Mathematics, 1 Maja 50, 40-287Katowice, Poland)

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.

Suggested Citation

  • Pośpiech Ewa, 2019. "Effective Portfolios – An Application of Multi-Criteria and Fuzzy Approach," Folia Oeconomica Stetinensia, Sciendo, vol. 19(1), pages 126-139, June.
    • Handle: RePEc:vrs:foeste:v:19:y:2019:i:1:p:126-139:n:9
    DOI: 10.2478/foli-2019-0009
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    References listed on IDEAS

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    1. Abolfazl Kazemi & Keyvan Sarrafha & Mahdi Beedel, 2014. "A hybrid fuzzy decision making method for a portfolio selection: a case study of Tehran Stock Exchange," International Journal of Industrial and Systems Engineering, Inderscience Enterprises Ltd, vol. 18(3), pages 335-354.
    2. Lai, Young-Jou & Liu, Ting-Yun & Hwang, Ching-Lai, 1994. "TOPSIS for MODM," European Journal of Operational Research, Elsevier, vol. 76(3), pages 486-500, August.
    3. Oguzhan Ece & Ahmet Serhat Uludag, 2017. "Applicability of Fuzzy TOPSIS Method in Optimal Portfolio Selection and an Application in BIST," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(10), pages 107-127, October.
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    More about this item

    Keywords

    TOPSIS method; FTOPSIS method; fuzzy modelling; portfolio selection; effective portfolios;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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