A hybrid grey MCDM approach for asset allocation: evidence from China’s Shanghai Stock Exchange
Asset allocation is a critical concern for any investor in the financial market. This paper aims to prioritize five randomly selected firms from the top ten stocks by market capitalization of the Shanghai Stock Exchange (SSE) by opting for adequate financial procedures and practical criteria under u...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2020-03-01
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| Series: | Journal of Business Economics and Management |
| Subjects: | |
| Online Access: | https://transport.vgtu.lt/index.php/JBEM/article/view/11967 |
| _version_ | 1819291112363261952 |
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| author | Ebenezer Fiifi Emire Atta Mills Mavis Agyapomah Baafi Nelson Amowine Kailin Zeng |
| author_facet | Ebenezer Fiifi Emire Atta Mills Mavis Agyapomah Baafi Nelson Amowine Kailin Zeng |
| author_sort | Ebenezer Fiifi Emire Atta Mills |
| collection | DOAJ |
| description | Asset allocation is a critical concern for any investor in the financial market. This paper aims to prioritize five randomly selected firms from the top ten stocks by market capitalization of the Shanghai Stock Exchange (SSE) by opting for adequate financial procedures and practical criteria under uncertain conditions. Decision makers want not only the ranking order of stocks but also capital proportions to be allocated. Therefore, this study uses a hybrid multi-criteria decision-making (MCDM) approach comprising of an integrated analytic network process (ANP) and decision making trial and evaluation laboratory (DEMATEL) in a grey environment for optimal portfolio selection to provide both ranking and weighting information for decision makers. Results indicate that return, financial ratios, dividends, and risk are causal criteria group, which are the most influential determinants for obtaining high benefits with regards to stock portfolio selection in SSE. The free float of stocks is the least influencing criterion among all identified criteria of stock portfolio selection of SSE. The Industrial and Commercial Bank of China Ltd. stocks have the highest allocated proportion with the highest priority shown by investors and can be described as a suitable alternative. The practical implications of this research are that the approach, when applied, highlights how the grey system theory minimizes the uncertainties in all stages of decision-making of portfolio selection. |
| first_indexed | 2024-12-24T03:33:27Z |
| format | Article |
| id | doaj.art-7f2151f07f6645ac9d89ea6996e9b2dc |
| institution | Directory Open Access Journal |
| issn | 1611-1699 2029-4433 |
| language | English |
| last_indexed | 2024-12-24T03:33:27Z |
| publishDate | 2020-03-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Journal of Business Economics and Management |
| spelling | doaj.art-7f2151f07f6645ac9d89ea6996e9b2dc2022-12-21T17:17:08ZengVilnius Gediminas Technical UniversityJournal of Business Economics and Management1611-16992029-44332020-03-0121210.3846/jbem.2020.11967A hybrid grey MCDM approach for asset allocation: evidence from China’s Shanghai Stock ExchangeEbenezer Fiifi Emire Atta Mills0Mavis Agyapomah Baafi1Nelson Amowine2Kailin Zeng3Department of Finance, School of Economics & Management, Jiangxi University of Science & Technology, 341000 Ganzhou, China; Ganzhou Academy of Financial Research (GAFR), 341000 Ganzhou, ChinaSchool of Management, Jiangsu University, 212013 Zhenjiang, ChinaSchool of Management, Jiangsu University, 212013 Zhenjiang, ChinaDepartment of Finance, School of Economics & Management, Jiangxi University of Science & Technology, 341000 Ganzhou, China; Ganzhou Academy of Financial Research (GAFR), 341000 Ganzhou, ChinaAsset allocation is a critical concern for any investor in the financial market. This paper aims to prioritize five randomly selected firms from the top ten stocks by market capitalization of the Shanghai Stock Exchange (SSE) by opting for adequate financial procedures and practical criteria under uncertain conditions. Decision makers want not only the ranking order of stocks but also capital proportions to be allocated. Therefore, this study uses a hybrid multi-criteria decision-making (MCDM) approach comprising of an integrated analytic network process (ANP) and decision making trial and evaluation laboratory (DEMATEL) in a grey environment for optimal portfolio selection to provide both ranking and weighting information for decision makers. Results indicate that return, financial ratios, dividends, and risk are causal criteria group, which are the most influential determinants for obtaining high benefits with regards to stock portfolio selection in SSE. The free float of stocks is the least influencing criterion among all identified criteria of stock portfolio selection of SSE. The Industrial and Commercial Bank of China Ltd. stocks have the highest allocated proportion with the highest priority shown by investors and can be described as a suitable alternative. The practical implications of this research are that the approach, when applied, highlights how the grey system theory minimizes the uncertainties in all stages of decision-making of portfolio selection.https://transport.vgtu.lt/index.php/JBEM/article/view/11967asset allocationgrey MCDMgrey-ANPgrey-DEMATELShanghai Stock ExchangeChina |
| spellingShingle | Ebenezer Fiifi Emire Atta Mills Mavis Agyapomah Baafi Nelson Amowine Kailin Zeng A hybrid grey MCDM approach for asset allocation: evidence from China’s Shanghai Stock Exchange Journal of Business Economics and Management asset allocation grey MCDM grey-ANP grey-DEMATEL Shanghai Stock Exchange China |
| title | A hybrid grey MCDM approach for asset allocation: evidence from China’s Shanghai Stock Exchange |
| title_full | A hybrid grey MCDM approach for asset allocation: evidence from China’s Shanghai Stock Exchange |
| title_fullStr | A hybrid grey MCDM approach for asset allocation: evidence from China’s Shanghai Stock Exchange |
| title_full_unstemmed | A hybrid grey MCDM approach for asset allocation: evidence from China’s Shanghai Stock Exchange |
| title_short | A hybrid grey MCDM approach for asset allocation: evidence from China’s Shanghai Stock Exchange |
| title_sort | hybrid grey mcdm approach for asset allocation evidence from china s shanghai stock exchange |
| topic | asset allocation grey MCDM grey-ANP grey-DEMATEL Shanghai Stock Exchange China |
| url | https://transport.vgtu.lt/index.php/JBEM/article/view/11967 |
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