Portfolio Selection with AHP and TOPSIS Methods: An Application in BIST

Abstract

In this study, the intend is to create portfolios at low, medium, and high-risk levels for firms operating in the fabrication sector in 2023 by utilizing efficiency analysis and multi-criteria decision-making methods, AHP and TOPSIS. The sample of the study comprises companies from the basic metal and textile, apparel, and leather industries listed in the BIST manufacturing sector. In the mentioned year, there were 28 firms in the basic metal industry and 27 firms in the textile, apparel, and leather industries. From the overall of 55 companies, data from 48 firms were available for the year 2023 due to recent initial public offerings, and these were included in the analysis. According to TOPSIS analysis results, companies in the low-risk group, based on firm codes, are (T1, T2, T6, M4, T15, T3), medium-risk group companies are (T5, T10, T24, T16, M14, M10), and high-risk group companies are (M16, M17, M20, M18, M22, M19). Based on risk group criteria, firms in the high-risk group include (T15), companies in the medium-risk group are (T1, T2, T3, T5, T6, T10, T24), and firms in the low-risk group are (T16, M4, M10, M14, M16, M17, M18, M19, M20, M22). As indicated by aftermath of the Spearman correlation analysis, a positive correlation was observed amid the TOPSIS scores and the risk groups (r = 0.412); however, this connection is not statistically important (p = 0.090).

Keywords

• finansal oranlar
• ahp
• topsis
• financial rasio
• ahp
• topsis