Multicriteria Rankings of Open-end Investment Funds and their Stability

• Autorzy: Agata Sielska
• Języki publikacji: EN

Abstrakty

EN

For research purposes, three multicriteria outranking methods (PROMETHEE, WSA and TOPSIS) were used to construct rankings of investment funds to assess their performance in the time period from January to July 2008. Nine indicators related to the distributions of return rates, purchase and management costs and to customers’ convenience were included in the set of criteria. The weight of each criterion was calculated on the basis of the relative volatility rate of the given criterion. In order to assess the stability of the rankings, the weight of a single criterion was changed (using each criterion in turn) and new rankings were constructed using the modified weights. The similarity of rankings built before and after these changes was assessed on the basis of the maximum difference between ranks and the Spearman correlation coefficient. The results obtained enable assessment not only of the stability of each outranking method, but the similarity of results obtained by different methods as well. All calculations were done using the SANNA software. (original abstract)

Słowa kluczowe

EN

Investment funds; Ranking; Multicriteria analysis; Spearman's rank correlation coefficient; Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS)

PL

Fundusze inwestycyjne; Ranking; Analiza wielokryterialna; Współczynnik korelacji rang Spearmana; Metoda TOPSIS

• Czasopismo: Operations Research and Decisions
• Rocznik: 2010
• Tom: 20
• Numer: nr 1
• Strony: 111--129

Twórcy

autor

Agata Sielska

• University of Finance and Management

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