Title: A multicriteria approach to the prioritisation of stock investment funds

Authors: Frederico Silva Valentim Sallum; Luiz Flavio Autran Monteiro Gomes; Maria Augusta Soares Machado

Addresses: Fuzzy Consultoria, Av. Nossa Senhora de Copacabana, 1376, Office # 302, CEP: 22060-002, Rio de Janeiro, RJ, Brazil ' Research Department in Administration and Economics, Ibmec/RJ, Av. Presidente Wilson, 118, Office # 1110, CEP: 20030-020, Rio de Janeiro, RJ, Brazil ' Research Department in Administration and Economics, Ibmec/RJ, Av. Presidente Wilson, 118, Office # 1110, CEP: 20030-020, Rio de Janeiro, RJ, Brazil

Abstract: In this paper the performance of nine stock investment funds present in the Brazilian market is analysed for the period from May 2015 to April 2017. The key objective is to establish four ways to rank the funds under analysis taking into account future financial contributions and investors with different points of view. Initially the TOPSIS method is applied considering the months as criteria and this leads to producing a degree of power for each fund. By using returns of the funds the accumulated rate and volatility are determined for each fund in two periods. As a next step the degree of influence between funds is computed and the WINGS method is applied. WINGS leads to four prioritisations of the funds in order to fit to the different points of views of financial experts.

Keywords: prioritisation of stock investment funds; performance of stock investment funds; multicriteria analysis; TOPSIS method; WINGS method.

DOI: 10.1504/IJBSR.2019.096378

International Journal of Business and Systems Research, 2019 Vol.13 No.1, pp.120 - 134

Received: 27 Jun 2017
Accepted: 30 Nov 2017
Published online: 27 Nov 2018 *

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