Stéphane Goutte, Hoang-Viet Le, Fei Liu, Hans-Jörg von Mettenheim
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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.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"353 1","pages":"321 - 351"},"PeriodicalIF":4.5000,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-025-06736-z.pdf","citationCount":"0","resultStr":"{\"title\":\"Mcda strategies for portfolio optimization: a case study on Vietnamese stock market dynamics\",\"authors\":\"Stéphane Goutte, Hoang-Viet Le, Fei Liu, Hans-Jörg von Mettenheim\",\"doi\":\"10.1007/s10479-025-06736-z\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":8215,\"journal\":{\"name\":\"Annals of Operations Research\",\"volume\":\"353 1\",\"pages\":\"321 - 351\"},\"PeriodicalIF\":4.5000,\"publicationDate\":\"2025-08-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://link.springer.com/content/pdf/10.1007/s10479-025-06736-z.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annals of Operations Research\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10479-025-06736-z\",\"RegionNum\":3,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"OPERATIONS RESEARCH & MANAGEMENT SCIENCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Operations Research","FirstCategoryId":"91","ListUrlMain":"https://link.springer.com/article/10.1007/s10479-025-06736-z","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
Mcda strategies for portfolio optimization: a case study on Vietnamese stock market dynamics
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.
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.