Two-step multi-criteria model for selecting optimal portfolio

Marasović, Branka; Babić, Zoran

doi:10.1016/j.ijpe.2011.04.026

Cited by 23 publications

(12 citation statements)

References 15 publications

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“…Bearing in mind a large number of the criteria (ratios) that need to be considered in order to gain an insight into the business economy of these groups of enterprises, it can be concluded that such an analysis belongs to the domain of multi-criteria analysis. There are a large number of the papers focused on the application of the multi-criteria analysis methods in various scientific disciplines (Marasovic & Babic, 2011;Araz & Ozkarahan, 2007;Andreopoulou et al, 2018;Lopes et al, 2018), and various methods of multi-criteria analysis have been developed in order to make them more adjusted to the challenges faced by decision-makers in contemporary conditions (Ishizaka & Nemery, 2013). In this paper, the PROMETHEE method is applied.…”

Section: Methodsmentioning

confidence: 99%

The role and importance of large companies in the economy of the Republic of Serbia

Krstić¹,

Fedajev²

2020

Serb J Management

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In contemporary business conditions, advanced market economies are characterized by the increasing contribution of the SMEs sector to the economic development. Having that in mind, a large number of papers have been aimed at analyzing business doing in this sector in the last couple of years. In this way, the focus has been shifted from large business entities and their importance to the economic growth to the SMEs sector. In this regard, the aim of this paper is to examine the financial situation, the place and the role of large companies in the overall economy of the Republic of Serbia, where, having in mind the fact that it is a transition economy, large enterprises, both private and public, significantly contribute to the growth of the economic activity and employment. Before all, the degree of the liquidity, efficiency, indebtedness and profitability of these companies in the period 2014-2017 was determined by using the ratio analysis. After that, on the basis of the selected ratios, a comparative financial performance analysis of large business entities in relation to those small, medium-sized and microwas carried out by applying the Entropy and the PROMETHEE II methods. The obtained results pointed out that large business entities had a favorable business economy in relation to the other groups of business entities by size, and their performances had improved to a certain extent in the observed period.

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Section: Methodsmentioning

confidence: 99%

The role and importance of large companies in the economy of the Republic of Serbia

Krstić¹,

Fedajev²

2020

Serb J Management

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“…Bearing in mind a large number of criteria (ratios) that need to be considered in order to gain insight into the business economy of selected group of companies, it can be concluded that a comparative analysis of the business of certain groups of economic entities belongs to the domain of multi-criteria analysis. There are a large number of papers that are based on the application of multi-criteria analysis methods in various scientific disciplines (Marasović and Babić, 2011;Araz and Ozkarahan, 2007;Andreopoulou et al, 2018;Lopes et al, 2018), and various methods of multicriteria analysis have been developed in order to make them more adjusted to the challenges faced by decision-makers in contemporary conditions (Ishizaka and Nemery, 2013). In this paper the PROMETHEE method is applied.…”

Section: Methodsmentioning

confidence: 99%

Some aspects of business operations of Serbian economy in 2017

Krstić¹,

Fedajev²,

Nikolić³

2018

Industrija

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After a period of stagnation, caused by the global economic crisis, the Serbian economy has been transformed into a growing economy with a satisfactory level of price and currency stability. In order to maintain this trend in the future and to ensure further acceleration of economic activity, it is necessary to identify the key problems faced by companies in every economic segment. In this sense, the aim of this paper is to identify the segments of the economy with the most favourable and the disadvantageous business economy, as well as the advantages and limitations of each segment individually. To perform this comparative analysis, the ratio analysis was applied in combination with PROMETHEE and the entropy method. Research results suggested that medium enterprises and those operating in the sector of information and communication and in the region of Vojvodina had the most favourable business economics, while the micro enterprises, those who operate in the construction sector and in the region of Kosovo and Metohija were in the worst economic and financial situation. On the basis of the obtained results, appropriate recommendations and guidelines for improvement of the business economics in the worst ranked segments of the economy have been defined.

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“…As it has been previously mentioned, the first model for portfolio optimization was developed in 1952 by Markowitz. His model proposed the return and risk as the only two criteria considered when selecting a portfolio (Markowitz, 1959, Xidonas, Mavrotas, Psarras, 2009, Marasović, Babić, 2011. However, this model has been criticized for that reason, since there are many other indicators, besides risk and return, which are important for portfolio selection.…”

Section: Literature Reviewmentioning

confidence: 99%

“…When selecting the stocks, investors must analyse stocks through multiple criteria, including the equity market indicators, as well as the financial indicators. While the equity market indicators contain the information about a stock's performance, such as the mean return, total risk, systematic risk etc., the financial indicators show the company's performance and the insight into its financial situation (Marasović, Babić, 2011). Therefore, it is important to take both financial and equity market indicators into consideration when selecting a set of investment stocks.…”

Section: Introductionmentioning

confidence: 99%

“…His model takes only two criteria into consideration: return and risk (Markowitz, 1959), where the risk is measured by the variance of returns distribution. His idea was to show the calculation of a portfolio with the highest expected return for a given level of risk, or the lowest risk for a given level of expected return (Marasović, Babić, 2011).…”

Section: Introductionmentioning

confidence: 99%

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Comparative analysis of stock selection using a hybrid MCDM approach and modern portfolio theory

Vuković

Pivac

Babić

2020

Croatian Review of Economic, Business and Social Statistics

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The problem of selecting an optimal set of investment stocks is of a huge interest for both individual and institutional investors. This paper compares the hybrid multiple criteria decision making (MCDM) approach to selecting the best stock to invest in, with the stock selection using modern portfolio theory (MPT). When selecting stocks, it is very important to thoroughly analyse stocks, according to multiple criteria, including their equity market indicators, as well as financial indicators. The objective of the research is to compare the stock selection using a hybrid MCDM approach and MPT, which includes only the equity market indicators. The analysed sample includes 18 stocks, which are CROBEX components on the Croatian capital market from January 2017 to January 2019. The rankings of stocks were calculated using five MCDM methods. These were then used to obtain the final hybrid stock ranking, which was compared to the MPT stock selection. The results show that there is a significant difference in the stock rankings. However, the stocks which have not entered any portfolio in MPT selection were ranked as lowest according to the hybrid MCDM approach, which confirms that those stocks are the worst to invest in. The research can serve as a guidance for investors to use all available stock information in their decision making process of investment.

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Two-step multi-criteria model for selecting optimal portfolio

Cited by 23 publications

References 15 publications

The role and importance of large companies in the economy of the Republic of Serbia

The role and importance of large companies in the economy of the Republic of Serbia

Some aspects of business operations of Serbian economy in 2017

Comparative analysis of stock selection using a hybrid MCDM approach and modern portfolio theory

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