Ocena portfeli konstruowanych na podstawie metody AHP - ujęcie klasyczne i fundamentalne

• Autorzy: Ewa Pośpiech

Warianty tytułu

The AHP Method for Portfolio Selection and Estimation - Classical and Fundamental Approach

• Języki publikacji: PL

Abstrakty

Celem artykułu jest wykorzystanie tej wielokryterialnej metody do uzyskania rankingu rozpatrywanych spółek, który posłuży do skonstruowania i oceny uzyskanych portfeli papierów wartościowych.(fragment tekstu)

EN

The article presents practical applications of chosen multiple criteria decision making method - AHP (Analytic Hierarchy Process). The main purpose is to build portfolios on the basis of this method. It is important to make the best decision when there are many alternatives (objects) that are evaluating under differing criteria. AHP is one of multiple criteria decision making methods; it enables to compare considered objects for each criterion and creates a ranking of all the objects. Building a portfolio is a problem of selecting these objects (quoted companies) that have, for example, high return rate and low variance, but also other features, like low β coefficient or high skewness coefficient. To built a portfolio according to the classical approach of using AHP method, all mentioned measures can be considered as criteria. In the other approach - fundamental one, some diagnostic features that characterize financial and economic condition of companies can be used as criteria. Created multiple criteria rankings can help to choose the best listed companies to the portfolio. In the paper, portfolios built on the basis of AHP rankings were estimated. To compare the profit rate of created this way portfolios, a classical portfolio based on Markowitz approach also was appointed. The profit rate of each portfolio designed on the basis of AHP method was over 19,5% and was higher than the profit rate of classical Markowitz one. Besides, the portfolios profit rates estimated for next three months were also better than Markowitz portfolio profit rate what confirms that using proposed approach may bring in interesting results.(original abstract)

Słowa kluczowe

PL

Papiery wartościowe; Portfel papierów wartościowych; Analiza wielokryterialna

EN

Securities; Portfolio securities; Multicriteria analysis

• Czasopismo: Studia Ekonomiczne / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2013
• Numer: nr 163 Modelowanie preferencji a ryzyko '13
• Strony: 99--112

Twórcy

autor

Ewa Pośpiech

• Uniwersytet Ekonomiczny w Katowicach

Bibliografia

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• http://www.gpw.pl
• http://www.bankier.pl