Title: An AHP-based asset allocation model

Authors: Luiz Flavio Autran Monteiro Gomes; Luís Alberto Duncan Rangel; Gisele Dos Santos

Addresses: Ibmec/RJ, Av. Presidente Wilson, 118, Sala 1110, CEP: 20040-030, Rio de Janeiro, RJ, Brazil ' Universidade Federal Fluminense, Av. dos Trabalhadores, 420, Vila Santa Cecília, CEP 27255-125, Volta Redonda, RJ, Brazil ' Ibmec/RJ Av. Presidente Wilson, 118, Sala 1110, CEP: 20040-030, Rio de Janeiro, RJ, Brazil

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.

Keywords: asset allocation; multicriteria decision making; MCDM; analytical hierarchy process; AHP; Brazil; investor suitability; portfolio diversification; mutual funds; investment decisions; portfolio selection.

DOI: 10.1504/IJBSR.2016.073693

International Journal of Business and Systems Research, 2016 Vol.10 No.1, pp.78 - 99

Received: 09 Sep 2014
Accepted: 14 Oct 2015

Published online: 15 Dec 2015 *

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