Mcda strategies for portfolio optimization: a case study on Vietnamese stock market dynamics

IF 4.5 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE
Stéphane Goutte, Hoang-Viet Le, Fei Liu, Hans-Jörg von Mettenheim
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引用次数: 0

Abstract

This study investigates the application of Multiple Criteria Decision Analysis (MCDA) methods for portfolio selection in the Vietnamese stock market using daily stock price data from the VN100 index spanning January 2015 to November 2023. Creating 150 criteria based on stock returns, volatility, and correlation, we employ five popular MCDA methods and four weighting methods to compare the performance of up to 500 portfolios. While MCDA methods may not effectively differentiate between stocks with higher and lower future returns, they consistently excel in selecting portfolios with superior risk-adjusted returns and lower drawdown compared to both the benchmark and the traditional Mean-Variance (MV) method. The PROMETHEE II (Preference Ranking Organization Method for Enrichment of Evaluations) method stands out as a robust performer, and the CRITIC (Criteria Importance Through Intercriteria Correlation) weighting method emerges as a reliable choice for constructing portfolios with favorable risk-adjusted returns. Moreover, the MCDA methods demonstrate potential computational efficiency over the tested MV implementation, enhancing their practicality. These findings highlight the practical utility of MCDA, particularly PROMETHEE II with CRITIC weighting, for navigating the complexities of portfolio optimization in dynamic emerging markets like Vietnam, offering a compelling alternative to traditional approaches.

投资组合优化的Mcda策略:以越南股市动态为例
本研究利用越南100指数从2015年1月到2023年11月的每日股票价格数据,研究了多标准决策分析(MCDA)方法在越南股票市场投资组合选择中的应用。我们根据股票收益、波动性和相关性创建了150个标准,采用五种流行的MCDA方法和四种加权方法来比较多达500个投资组合的表现。虽然MCDA方法可能无法有效区分未来回报较高和较低的股票,但与基准和传统的均值-方差(MV)方法相比,它们在选择具有更高风险调整回报和更低跌幅的投资组合方面一直表现出色。PROMETHEE II(用于丰富评价的偏好排序组织方法)方法作为一个稳健的表演者脱颖而出,而CRITIC(通过标准间相关性的标准重要性)加权方法作为构建具有有利风险调整收益的投资组合的可靠选择而出现。此外,MCDA方法比测试的MV实现显示出潜在的计算效率,增强了它们的实用性。这些发现突出了MCDA的实际效用,特别是具有CRITIC权重的PROMETHEE II,在越南等充满活力的新兴市场中导航投资组合优化的复杂性,为传统方法提供了令人信服的替代方案。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Annals of Operations Research
Annals of Operations Research 管理科学-运筹学与管理科学
CiteScore
7.90
自引率
16.70%
发文量
596
审稿时长
8.4 months
期刊介绍: The Annals of Operations Research publishes peer-reviewed original articles dealing with key aspects of operations research, including theory, practice, and computation. The journal publishes full-length research articles, short notes, expositions and surveys, reports on computational studies, and case studies that present new and innovative practical applications. In addition to regular issues, the journal publishes periodic special volumes that focus on defined fields of operations research, ranging from the highly theoretical to the algorithmic and the applied. These volumes have one or more Guest Editors who are responsible for collecting the papers and overseeing the refereeing process.
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