Comparative evaluation of the performance of selected portfoli-os based on AHP and Topsis multi-criteria decision-making techniques with Markowitz mean-variance model
Publish Year: 1402
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_AMFA-8-3_020
تاریخ نمایه سازی: 19 تیر 1402
Abstract:
In this research, using Analytic Hierarchy Process (AHP) and TOPSIS method (TOP) based on financial criteria, earnings per share, dividend per share, operating cash flow growth, earnings per share growth, beta (systematic) risk, volatility Operating profit, stock liquidity and price-to-earnings ratio selected according to the opinions of investment experts, formed a portfolio. Then, the criteria for evaluating the performance of risk-adjusted portfolios according to modern portfolio theory (Sharp, Trainer and Alpha Jensen) were calculated based on monthly stock prices during the ۵-year period from ۱۳۹۳ to ۱۳۹۷ and com-pared with the criteria for evaluating portfolio performance according to Marko-witz model. The results showed that the selection of stock portfolio using the mentioned financial criteria and using the Analytic Hierarchy Process (AHP) model leads to the acquisition of adjusted returns with more risk than the Marko-witz optimization model and the TOPSIS model (TOP).
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Authors
mahmoud hematfar
Associate Professor of Islamic Azad university
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