A Novel Integrated Strategic Portfolio Decision-Making Model

Darius Danesh, Michael J. Ryan and Alireza Abbasi
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Darius Danesh: School of Engineering and Information Technology, University of New South Wales (UNSW), Sydney, Australia
Michael J. Ryan: School of Engineering and Information Technology, University of New South Wales (UNSW), Sydney, Australia

International Journal of Strategic Decision Sciences (IJSDS), 2017, vol. 8, issue 3, 1-44

Abstract: This study proposes a novel method for portfolio selection/decision making that combines the Portfolio Theory (PT), Analytic Hierarchy Process (AHP) and Data Envelopment Analysis (DEA) cross-efficiency technique. It takes into account the profits, risks and proficiency of a portfolio and is shown to be useful for selecting one with positive and negative data and subsequently measuring its efficiency using AHP, with a consistency test conducted to verify the objectivity of the results. To test the applicability of the proposed model, it is used to determine the efficiency levels of ten of the largest companies in Australia for the years 2014 and 2015. Two criteria, namely, the expected return and variance, are used to identify the preference status of each company. The results indicate that the proposed model is feasible and adoptable for the contemporary industrial scenario as it simultaneously analyses profits, risks and proficiency.

Date: 2017
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