Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/323400 
Year of Publication: 
2020
Citation: 
[Journal:] Croatian Review of Economic, Business and Social Statistics (CREBSS) [ISSN:] 2459-5616 [Volume:] 6 [Issue:] 2 [Year:] 2020 [Pages:] 58-68
Publisher: 
Sciendo, Warsaw
Abstract: 
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.
Subjects: 
MCDM approach
modern portfolio theory
stock selection
JEL: 
C44
C52
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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