Paper Info
Title
A Novel Integrated Strategic Portfolio Decision-Making Model
Abstract
AbstractThis study proposes a novel method for portfolio selection/decision making that combines the Portfolio Theory PT, Analytic Hierarchy Process AHP and Data Envelopment Analysis DEA cross-efficiency technique. It takes into account the profits, risks and proficiency of a portfolio and is shown to be useful for selecting one with positive and negative data and subsequently measuring its efficiency using AHP, with a consistency test conducted to verify the objectivity of the results. To test the applicability of the proposed model, it is used to determine the efficiency levels of ten of the largest companies in Australia for the years 2014 and 2015. Two criteria, namely, the expected return and variance, are used to identify the preference status of each company. The results indicate that the proposed model is feasible and adoptable for the contemporary industrial scenario as it simultaneously analyses profits, risks and proficiency.
Year
DOI
Venue
2017
10.4018/IJSDS.2017070101
Periodicals
Field
DocType
Volume
Decision-making models,Economics,Financial economics,Application portfolio management,Modern portfolio theory,Operations research,Portfolio,Data envelopment analysis,Analytic hierarchy process,Management science,Expected return,Profit (economics)
Journal
8
Issue
ISSN
Citations 
3
1947-8569
0
PageRank 
References 
Authors
0.34
9
3
Name
Order
Citations
PageRank
Darius Danesh100.34
Michael Ryan24117.47
Alireza Abbasi3226.48