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An AHP-based asset allocation model

Author

Listed:
  • Luiz Flavio Autran Monteiro Gomes
  • Luís Alberto Duncan Rangel
  • Gisele Dos Santos

Abstract

With advances in the Brazilian stock market and the improvement in its economic foundation, it has become increasingly necessary for investors to conduct meticulous planning to determine the most suitable asset allocation. The identification of the characteristics and objectives of the investor is essential to determine a suitable portfolio. An integrated approach through the analytical techniques of multicriteria decision aiding has been shown to be suitable to finance. The scope of this study is to aid in this decision-making process so as to identify the investor suitability to the assets classes and provide diversification in mutual funds portfolio. The model used to identify the investor characteristics and analyse the alternatives in the decision-making process was the AHP method, through the use of the Super Decisions software. The final obtained result, besides a better understanding of the problem, was a ranking of assets classes leading to a portfolio selection.

Suggested Citation

  • Luiz Flavio Autran Monteiro Gomes & Luís Alberto Duncan Rangel & Gisele Dos Santos, 2016. "An AHP-based asset allocation model," International Journal of Business and Systems Research, Inderscience Enterprises Ltd, vol. 10(1), pages 78-99.
    • Handle: RePEc:ids:ijbsre:v:10:y:2016:i:1:p:78-99
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    References listed on IDEAS

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