MCDM'09 - paper no. 3
APPLICATION OF AN AHP-TYPE METHOD AT PORTFOLIO MANAGEMENT
Jaroslav Charouz, Jaroslav Ramík
Abstract:
The article deals with an application of the methodology of Analytic Hierarchy process (AHP) and also with its newly developed modification named FVK to portfolio management. The method AHP was published already in 1980s whereas FVK is a newly created tool expanding application possibilities of the AHP. Both methods are based on the definitions of decision criteria and variants in a logical hierarchy. First, we decompose the decision problem analytically from the upper to the lowest level and then we perform a synthesis by evaluating the decision variants and eliciting the best one. Here, we apply this multi-criteria methodology to the problem of a portfolio manager making a decision when selecting the best possible instrument on the financial market. Using a case study we demonstrate how appropriate application of the above mentioned methods could show a clear way for finding a satisfactory solution of this problem.
Keywords:
Multi-criteria decision making; Analytic hierarchy process; Portfolio management
Reference index:
Jaroslav Charouz, Jaroslav Ramík, (2010), APPLICATION OF AN AHP-TYPE METHOD AT PORTFOLIO MANAGEMENT, Multiple Criteria Decision Making (5), pp. 47-62
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