Comparative evaluation of the performance of selected portfoli-os based on AHP and Topsis multi-criteria decision-making techniques with Markowitz mean-variance model

Advances in Mathematical Finance and Applications

مقاله 20، دوره 8، شماره 3، مهر 2023، صفحه 1071-1087   

نوع مقاله: َApplied-Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2021.1921203.1553

نویسنده

Mahmoud Hematfar^*

Department of Accounting, Borujerd Branch, Islamic Azad University, Borujerd, Iran

چکیده

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 5-year period from 1393 to 1397 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).

کلیدواژه‌ها

Analytic Hierarchy Process؛ TOPSIS؛ Markowitz Optimization Model؛ Portfolio Performance Evaluation

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