A Combined AHP-PROMETHEE Approach for Portfolio Performance Comparison

Comparing portfolio performance is complex due to the fact that each model dominant in its own risk space. Since there no single measure, research problem how incorporate several different measures into a evaluation allows portfolios be ranked. In this regard, objective of study was develop new comprehensive method for comparing based on multiple-criteria decision-making (MCDM). This paper proposes an integrated approach stock market decision making combines Analytic Hierarchy Process (AHP) and Preference Ranking Organization Method Enrichment Evaluations (PROMETHEE), which allow hierarchical finite number alternatives according criteria. hybrid especially advantageous, utilizing strengths both individual methods. AHP enables decomposition constituent parts determination weights criteria, while PROMETHEE investor determine preference function, complete ranking, analysis robustness results. For MCDM study, dimensions are considered criteria: return measures, stability predictability measures. The methodology has been applied real selected basis purpose, weekly data were used sample stocks components STOXX Europe 600 Index period 2000–2020. addition, sensitivity performed investigate strength results method. It suggests simultaneous consideration investor’s attitude towards importance these notably important efficiency estimation process.