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Comparison of profits of effective portfolios with non-effective portfolios taking into account the fuzzy approach

Pośpiech Ewa

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

2021

z. 150

199--212

Purpose: The aim of the article is to compare the results of the constructed effective portfolios and non-effective portfolios build on the basis of the value of the indicator constituting a synthetic assessment of decision variants. Design/methodology/approach: The article uses the multi-criteria TOPSIS method in the standard and fuzzy approach. It was used to evaluate listed companies that were examined in terms of selected fundamental and market characteristics. Taking into account the fuzzy method made it possible to treat the values of criteria from three years as triangular fuzzy numbers, and the values of the measure on the basis of which the ranking was created were also used to build non-effective portfolios. Findings: A multi-criteria evaluation of selected listed companies was performed and, on the basis of the obtained rankings, the sets constituting the basis for the construction of effective and non-effective portfolios were selected. The designated effective portfolios (after pre-selection using the FTOPSIS method) were in most cases more profitable than the market portfolio, while the non-effective portfolios, using TOPSIS as the pre-selection method, were (with one exception) more profitable than the effective portfolios. Research limitations/implications: It was not possible to unequivocally recommend the approach used, although the results appear promising. Practical implications: Taking into account the proposed approach, one can methodically build more profitable and more attractive portfolios. Originality/value: Non-standard approach to criteria assessments and the use of metacriterion values to determine the portfolio structure. The considerations may be of interest to stock market investors.