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The multi-criteria fuzzy approach to building and evaluating effective portfolios

Pośpiech Ewa

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

2020

z. 144

397--407

Purpose: The aim of the article is to compare the results of effective portfolios obtained after the initial selection using multi-criteria methods with the results of the market portfolio. Design/methodology/approach: When selecting a long-term portfolio, a fundamental analysis can be used to assess a company's economic and financial condition. This analysis is based on fundamental and market indicators. By treating selected indicators as evaluation criteria, the problem can be considered as a multi-criteria problem. In the analyses the TOPSIS methods were used (standard and fuzzy one), which enabled the approach to the issue in a non-standard way. Findings: Three effective portfolios were determined: two of them were obtained after the initial selection of companies using selected multi-criteria methods, the third was generated from the set of all considered companies. The results of these portfolios, estimated for the whole of 2018, were compared with the market portfolio represented by the WIG20 index. The analysis showed that including the fuzzy approach when selecting a portfolio, it is possible to construct more profitable portfolios compared to the market portfolio. Research limitations/implications: The problem requires further research to confirm the recommendations made. Practical implications: Using the proposed approach, we can methodically build more profitable portfolios than the market portfolio. Originality/value: The values of criterion assessments from selected years were treated as triangular fuzzy numbers – this enabled the use of fuzzy approach and the selection of portfolios more attractive than the market one. The study may be of interest to stock market investors.

Do NBP base rates announcements convey valuable information?

Gurgul H., Majdosz P.

Systems Science

2005

Vol. 31, no 1

105-116

In this paper, we try to throw light on the information content of base rates announcements released by the National Bank of Poland (NBP). Focusing our attention on the rediscount rate changes over the period from 1995 to 2003, we examine whether the abnormal behavior of stock returns and trading volume of the most liquid firms listed on the Warsaw Stock Exchange (WSE) can be identified in the surroundings of the NBP announcements. The statistical test used here is based on the excess returns (volume) defined as the difference between actual rate of return (volume) and expected rale of return (volume). To generate the expected returns (volume), we employ the ARMA(1,1)-GARCH(1,1) specification with additional represser, that is, return of the market portfolio (approximated by the market-capitalization weighted stock index called WIG) in the mean equation. The main finding is that the reversal of rediscount rate course has a significant impact on stock returns but not on trading volume.