Effective Portfolios – An Application of Multi-Criteria and Fuzzy Approach

Abstract

Research background: When selecting effective portfolios, the portfolio risk is minimized at the given expected return rate or the expected return rate is maximized with a given risk level. However, it is also worth using additional information, such as fundamental and market indicators to examine the companies’ economic and financial situation. Taking into account the chosen indicators, the initial selection of companies can be approached as a multi-criteria problem. Besides, the choice of the period from which data will be taken gives the opportunity to use non-standard tools.

Keywords

• topsis method
• ftopsis method
• fuzzy modelling
• portfolio selection
• effective portfolios
• c44
• c61
• g11