Allocation with multi criteria decision making techniques

نویسندگان

چکیده

Determining the weights of assets in a portfolio is one fundamental problems finance. MCDM techniques are employed for asset allocation purposes. However, criterion have to be determined before steps implemented. In this study, criteria by four different weight (CILOS, CRITIC, MEREC, and SECA), effect these on performance portfolios created with 17 (ARAS, CoCoSo, CODAS, COPRAS, EDAS, GRA, MABAC, MAIRCA, MARCOS, MOORA, MOOSRA, OCRA, SAW, TODIM, TOPSIS, VIKOR, WASPAS) examined. 297 (including sectional cumulative) were calculated using mean, standard deviation, correlation, based historical returns. The returns S&P 500 stocks between January 2020 December 2021 used as dataset. Returns first 250 trading days determine portfolio. from following evaluation experiment was repeated two more periods. It found that cumulative significantly higher than criteria. Differences industry also results show when set weights, return possible.

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ژورنال

عنوان ژورنال: Decision Making

سال: 2022

ISSN: ['2560-6018', '2620-0104']

DOI: https://doi.org/10.31181/dmame0305102022o