Improved AHP-group decision making for investment strategy selection

Technological and Economic Development of Economy

Volumn 18, Issue 2, 2012, Pages 299-316

  Wu, Wenshuai ^a   Kou, Gang ^a   Peng, Yi ^a   Ergu, Daji ^b  

^a UNIVERSITY OF ELECTRONIC SCIENCE AND TECHNOLOGY OF CHINA   (China)

^b SOUTHWEST UNIVERSITY FOR NATIONALITIES   (China)

Author keywords

Analytic Hierarchy Process; group decision making; investment management; MCDM

Indexed keywords

EID: 84862700200     PISSN: 20294913     EISSN: 20294921     Source Type: Journal    
DOI: 10.3846/20294913.2012.680520     Document Type: Article

References (78)

1. Alfares, H. K.; Duffuaa, S. O. 2008. Determining aggregate criteria weights from criteria rankings by a group of decision makers, International Journal of Information Technology & Decision Making 7 4: 769-781. http://dx.doi.org/10.1142/S0219622008003174
2. Arljukova, I. 2008. Problems preventing air companies from efficient investment activities, Technological and Economic Development of Economy 14 3: 247-259. http://dx.doi.org/10.3846/1392-8619.2008.14.247-259
3. Ba, X.; Zhang, Y.; Wu, Y. N. 2011. An AHP grey evaluation model of the real estate investment risk, Computing and Intelligent Systems 234: 325-334. http://dx.doi.org/10.1007/978-3-642-24091-1_43
4. Bard, J. F.; Sousk, S. F. 1990. A tradeoff analysis for rough terrain cargo handlers using the AHP: an example of group decision making, IEEE Transactions on Engineering Management 37 3: 222-227. http://dx.doi.org/10.1109/17.104292
5. Barry, C. B.; Starks, L. T. 1984. Investment management and risk sharing with multiple managers, The Journal of Finance 39 2: 477-491. http://dx.doi.org/10.2307/2327872
6. Bayraktar, E.; Young, V. R. 2010. Optimal investment strategy to minimize occupation time, Annals of Operations Research 176 1: 389-408. http://dx.doi.org/10.1007/s10479-008-0467-2
7. Better, M.; Glover, F.; Kochenberger, G.; Wang, H. 2008. Simulation optimization: applications in risk management, International Journal of Information Technology & Decision Making 7 4: 571-587. http://dx.doi.org/10.1142/S0219622008003137
8. Binsbergen, V. J. H.; Brandt, M. W.; Koijen, R. S. J. 2008. Optimal decentralized investment management, The Journal of Finance 63 4: 1849-1895. http://dx.doi.org/10.1111/j.1540-6261.2008.01376.x
9. Boguslauskas, V.; Mileris, R.; Adlytė, R. 2011. New internal rating approach for credit risk assessment, Technological and Economic Development of Economy 17 2: 369-381. http://dx.doi.org/10.3846/20294913.2011.583721
10. Bozóki, S.; Lewis, R. H. 2005. Solving the Least Squares Method problem in the AHP for 3×3 and 4×4 matrices, Central European Journal of Operations Research 13 3: 255-270. http://dx.doi.org/10.1007/s10898-008-9303-0
11. Bozóki, S. 2008. Solution of the Least Squares Method problem of pairwise comparison matrices, Central European Journal of Operations Research 16: 345-358. http://dx.doi.org/10.1007/s10100-008-0063-1
12. Busse, J. A.; Goyal, A.; Wahal, S. 2010. Performance and persistence in institutional investment management, The Journal of Finance 65 2: 765-790. http://dx.doi.org/10.1111/j.1540-6261.2009.01550.x
13. Cao, D.; Leung, L. C.; Law, J. S. 2008. Modifying inconsistent comparison matrix in analytic hierarchy process: a heuristic approach, Decision Support System 44: 944-953. http://dx.doi.org/10.1016/j.dss.2007.11.002
14. Carmone, F. J.; Kara, A.; Zanakis, S. H. 1997. A Monte Carlo investigation of incomplete pair-wise comparison matrices in AHP, European Journal of Operational Research 102 3: 538-553. http://dx.doi.org/10.1016/S0377-2217(96)00250-0
15. Cassel, C.; Hackl, P.; Westlund, A. H. 1999. Robustness of partial least-squares method for estimating latent variable quality structures, Journal of Applied Statistics 26 4: 435-446. http://dx.doi.org/10.1080/02664769922322
16. Chang, D. Y. 1996. Applications of the extent analysis method on fuzzy AHP, European Journal of Operational Research 95: 649-655. http://dx.doi.org/10.1016/0377-2217(95)00300-2
17. Cheng, M. Y.; Hsiang, C. C.; Tsai, H. C.; Do, H. L. 2011. Bidding decision making for construction company using a multi-criteria prospect model, Journal of Civil Engineering and Management 17 3: 424-436. http://dx.doi.org/10.3846/13923730.2011.598337
18. Choi, A.; Woo, W. 2011. Multiple-criteria decision making based on probabilistic estimation with contextual information for physiological signal monitoring, International Journal of Information Technology & Decision Making 10 1: 109-120. http://dx.doi.org/10.1142/S0219622011004245
19. Davanzo, L. E.; Nesbitt, S. L. 1987. Performance fees for investment management, Financial Analysts Journal 43 1: 14-20. http://dx.doi.org/10.2469/faj.v43.n1.14
20. Dyer, R. F.; Forman, E. H. 1992. Group decision support with the analysis hierarchy process, Decision Support System 8: 99-124. http://dx.doi.org/10.1016/0167-9236(92)90003-8
21. Ergu, D.; Kou, G.; Peng, Y.; Shi, Y. 2011a. A simple method to improve the consistency ratio of the pairwise comparison matrix in ANP, European Journal of Operational Research 213 1: 246-259. http://dx.doi.org/10.1016/j.ejor.2011.03.014
22. Ergu, D.; Kou, G.; Shi, Y.; Shi, Y. 2011b. Analytic network process in risk assessment and decision analysis, Computers & Operations Research. http://dx.doi.org/10.1016/j.cor.2011.03.005
23. Ergu, D.; Kou, G.; Peng, Y.; Shi, Y.; Shi, Y. 2011c. The Analytic Hierarchy Process: task scheduling and resource allocation in cloud computing environment, The Journal of Supercomputing (in press).http://dx.doi.org/10.1007/s11227-011-0625-1
24. Fedrizzi, M.; Giove, S. 2007. Incomplete pair-wise comparison and consistency optimization, European Journal of Operational Research 183 1: 303-313. http://dx.doi.org/10.1016/j.ejor.2006.09.065
25. Fried, V. H.; Hisrich, R. D. 1994. Toward a model of venture capital investment decision making, Financial Management 23 3: 28-37. http://dx.doi.org/10.2307/3665619
26. Froot, K. A.; Scharfstein, D. S.; Stein, J. C. 1993. Risk management: coordinating corporate investment and financing policies, The Journal of Finance 48 5: 1629-1658. http://dx.doi.org/10.2307/2329062
27. Gao, Y.; Zhang, G. Q.; Lu, J.; Dillon, T.; Zeng, X. Y. 2008. Aλ -cut approximate algorithm for goal-based bilevel risk management systems, International Journal of Information Technology & Decision Making 7 4: 589-610. http://dx.doi.org/10.1142/S0219622008003113
28. Ginevičius, R.; Zubrecovas, V. 2009. Selection of the optimal real estate investment project basing on multiple criteria evaluation using stochastic dimensions, Journal of Business Economics and Management 10 3: 261-170. http://dx.doi.org/10.3846/1611-1699.2009.10.261-270
29. Handfield, R.; Walton, S. V.; Sroufe, R.; Melnyk, S. A. 2002. Applying environmental criteria to supplier assessment: a study in the application of the analytical hierarchy process, European Journal of Operational Research 141 1: 70-87 http://dx.doi.org/10.1016/S0377-2217(01)00261-2
30. Ishizaka, A.; Labib, A. 2011. Review of the main developments in the analytic hierarchy process, Expert Systems with Application 38 11: 14336-14345. http://dx.doi.org/10.1016/j.eswa.2011.04.143
31. Ishizaka, A.; Lusti, M. 2004. An expert module to improve the consistency of AHP matrices, International Transactions in Operational Research 11 1: 97-105. http://dx.doi.org/10.1111/j.1475-3995.2004.00443.x
32. Jorion, P. 2000. Risk management lessons from Long-term capital management, European Financial Management 6 3: 277-300. http://dx.doi.org/10.1111/1468-036X.00125
33. Kamal, M.; Al-Subhi, A. 2001. Application of the AHP in project management, International Journal of Project Management 19: 19-27. http://dx.doi.org/10.1016/S0263-7863(99)00038-1
34. Kent, D. M. 1992. A framework for integrated risk management in international business, Journal of International Business Studies 23 2: 311-331. http://dx.doi.org/10.1057/palgrave.jibs.8490270
35. Keršulienė, V.; Turskis, Z. 2011. Integrated fuzzy multiple criteria decision making model for architect selection, Technological and Economic Development of Economy 17 4: 645-666. http://dx.doi.org/10.3846/20294913.2011.635718
36. Kim, S. H.; Ahn, B. S. 1997. Group decision-making procedure considering preference strength under incomplete information, Computer & Operations Research 24: 1101-1112. http://dx.doi.org/10.1016/S0305-0548(97)00037-3
37. Korpela, J.; Tuominen, M. 1995. Group decision support for defining the vision and strategic goals for distribution logistics, in Proceedings of the 28th Annual Hawaii International Conference on System Science, 189-215. http://doi.ieeecomputersociety.org/10.1109/HICSS.1995.375701
38. Korpela, J.; Tuominen, M. 1997. Group decision support for analyzing logistics development projects, in Proceedings of the 13th Hawaii International Conference, 493-502. http://dx.doi.org/10.1109/HICSS.1997.665652
39. Kou, G.; Lu, Y.; Peng, Y.; Shi, Y. 2012. Evaluation of classification algorithms using MCDM and rank correlation, International Journal of Information Technology & Decision Making 11 1: 197-225. http://dx.doi.org/10.1142/S0219622012500095
40. Levary, R.; Wan, K. 1998. A simulation approach for handling uncertainty in the analytic hierarchy process, European Journal of Operations Research 106: 116-122. http://dx.doi.org/10.1016/S0377-2217(97)00134-3
41. Li, H.; Ma, L. 2008. Ranking decision alternatives by integrated DEA, AHP and Gower Plot Techniques, International Journal of Information Technology & Decision Making 7 2: 241-258. http://dx.doi.org/10.1142/S0219622008002922
42. Li, J.; Yu, L.; Jyrki, W. 2009. Guest editor's introduction: risk measurement and risk correlation analysis, International Journal of Information Technology & Decision Making 8 4: 625-627. http://dx.doi.org/10.1142/S0219622009003739
43. Liaudanskienė, R.; Varnas, N.; Ustinovichius, L. 2010. Modeling the application of workplace safety and health act in Lithuanian construction sector, Technological and Economic Development of Economy 16 2: 233-253. http://dx.doi.org/10.3846/tede.2010.15
44. Lin, K. L. 2010. Determining key ecological indicators for urban land consolidation, International Journal of Strategic Property Management 14 2: 89-103. http://dx.doi.org/10.3846/ijspm.2010.08
45. Liu, D. R.; Shih, Y. Y. 2005. Integrating AHP and data mining for product recommendation based on customer lifetime value, Information and Management 42: 387-400. http://dx.doi.org/10.1016/j.im.2004.01.008
46. Liu, R.; Rallo, R.; Cohen, Y. 2011. Unsupervised feature selection using incremental least squares, International Journal of Information Technology & Decision Making 10 6: 967-987. http://dx.doi.org/10.1142/S0219622011004671
47. Malkiel, B. G. 2003. Passive investment strategies and efficient markets, European Financial Management 9 1: 1-10. http://dx.doi.org/10.1111/1468-036X.00205
48. Medineckienė, M.; Bjork, F. 2011. Owner preferences regarding renovation measures-the demonstration of using multi-criteria decision making, Journal of Civil Engineering and Management 17 2: 284-295. http://dx.doi.org/10.3846/13923730.2011.582380
49. Metrick, A. 1999. Performance evaluation with transactions data: the stock selection of investment newsletters, The Journal of Finance 54 5: 1743-1775. http://dx.doi.org/10.1111/0022-1082.00165
50. Nieto-Morote, A.; Ruz-Vila, F. 2011. A fuzzy AHP multi-criteria decision-making approach applied to combined cooling, heating, and power production systems, International Journal of Information Technology & Decision Making 10 3: 497-517. http://dx.doi.org/10.1142/S0219622011004427
51. Peng, Y.; Kou, G.; Wang, G. X.; Wang, H. G.; Ko, F. I. S. 2009. Empirical evaluation of classifiers for software risk management, International Journal of Information Technology & Decision Making 8 4: 749-767. http://dx.doi.org/10.1142/S0219622009003715
52. Peng, Y.; Wang, G.; Kou, G.; Shi, Y. 2010. An empirical study of classification algorithm evaluation in financial risk management, Applied Soft Computing 11 2: 2906-2915. http://dx.doi.org/10.1016/j.asoc.2010.11.028
53. Peng, Y.; Kou, G.; Wang, G.; Wu, W.; Shi, Y. 2011a. Ensemble of software defect predictors: an AHP-based evaluation method, International Journal of Information Technology & Decision Making 10 1: 187-206. http://dx.doi.org/10.1142/S0219622011004282
54. Peng, Y.; Kou, G.; Wang, G.; Shi, Y. 2011b. FAMCDM: A fusion approach of MCDM methods to rank multiclass classification algorithms, Omega 39 6: 677-689. http://dx.doi.org/10.1016/j.omega.2011.01.009
55. Rao, C. J.; Peng, J. 2009. Fuzzy group decision making model based on credibility theory and gray relative degree, International Journal of Information Technology & Decision Making 8 3: 515-527. http://dx.doi.org/10.1142/S0219622009003533
56. Saaty, T. L. 1978. Modeling unstructured decision problems-the theory of analytical hierarchies, Mathematics and Computers in Simulation 20 3: 147-158. http://dx.doi.org/10.1016/0378-4754(78)90064-2
57. Saaty, T. L. 1979. Applications of analytical hierarchies, Mathematics and Computers in Simulation 21: 1-20. http://dx.doi.org/10.1016/0378-4754(79)90101-0
58. Saaty, T. L. 1980. The Analytic Hierarchy Process. New York: McGraw-Hill. http://www.jstor.org/stable/25060854
59. Saaty, T. L. 1985. Decision Making for Leaders, California: Life Time Leaning Publications.
60. Saaty, T. L. 1986. Axiomatic foundation of the analytic hierarchy process, Management Science 32 7: 841-855. http://dx.doi.org/10.1287/mnsc.32.7.841
61. Saaty, T. L. 1990. How to make a decision: the analytic hierarchy process, European Journal of Operational Research 48: 9-26. http://dx.doi.org/10.1016/0377-2217(90)90057-I
62. Saaty, T. L. 2003. Decision-making with the AHP: Why is the principal eigenvector necessary?, European Journal of Operational Research 145 1: 85-91. http://dx.doi.org/10.1016/S0377-2217(02)00227-8
63. Saaty, T. L. 2006. The analytic network process, decision making with the analytic network process, International Series in Operations Research and Management Science 95: 1-26. http://dx.doi.org/10.1007/0-387-33987-6_1
64. Saaty, T. L.; Zoffer, H. J. 2011. Negotiating the Israeli-Palestinian controversy from a new perspective, International Journal of Information Technology & Decision Making 10 1: 5-64. http://dx.doi.org/10.1142/S021962201100421X
65. Shen, C. 2009. A bayesian networks approach to modeling financial risks of E-Logistics investments, International Journal of Information Technology & Decision Making 8 4: 711-726. http://dx.doi.org/10.1142/S0219622009003594
66. Shyng, J.; Shieh, H.; Tzeng, G.; Hsieh, S. 2010. Using FSBT technique with rough set theory for personal investment portfolio analysis, European Journal of Operational Research 201 2: 601-607. http://dx.doi.org/10.1016/j.ejor.2009.03.031
67. Soylu, B. 2010. Integrating PROMETHEE II with the Tchebycheff function for multi criteria decision making, International Journal of Information Technology & Decision Making 9 4: 525-545. http://dx.doi.org/10.1142/S0219622010003944
68. Stoughton, N. M.; Wu, Y. C.; Zechner, J. 2011. Intermediated investment management, The Journal of Finance 66 3: 947-980. http://dx.doi.org/10.1111/j.1540-6261.2011.01656.x
69. Teichroew, D.; Robichek, A. A.; Montalbano, M. 1965. An analysis of criteria for investment and financing decisions under certainty, Management Science 12 3: 151-179. http://dx.doi.org/10.1287/mnsc.12.3.151
70. Tupenaite, L.; Zavadskas, E. K.; Kaklauskas, A.; Turskis, Z.; Seniut, M. 2010. Multiple criteria assessment of alternatives for built and human environment renovation, Journal of Civil Engineering and Management 16 2: 257-266. http://dx.doi.org/10.3846/jcem.2010.30
71. Wei, C.; Tang, X. 2011. An intuitionistic fuzzy group decision-making approach based on entropy and similarity measures, International Journal of Information Technology & Decision Making 10 6: 1111-1130. http://dx.doi.org/10.1142/S0219622011004737
72. Wijnmalen, D. 2007. Analysis of benefits, opportunities, costs, and risks (BOCR) with the AHP-ANP: a critical validation, Mathematical and Computer Modeling 46: 892-905. http://dx.doi.org/10.1016/j.mcm.2007.03.020.
73. Wind, Y.; Saaty, T. L. 1980. Marketing applications of the analytic hierarchy process, Management Science 26 7: 641-658. http://dx.doi.org/10.1287/mnsc.26.7.641
74. Wu, L.; Cui, X.; Dai, R. 2010. Judgment number reduction: an issue in the Analytic Hierarchy Process, International Journal of Information Technology & Decision Making 9 1: 175-189. http://dx.doi.org/10.1142/S0219622010003683
75. Wu, W.; Kou, G.; Peng, Y.; Shi, Y. 2011. Group decision support for credit risk evaluation with improved MCDM model, Submit to Expert System with Application.
76. Yu, C. S. 2002. A GP-AHP method for solving group decision-making fuzzy AHP problems, Computers and Operations Research 29: 1969-2001. http://dx.doi.org/10.1016/S0305-0548(01)00068-5
77. Yu, L.; Wang, S.; Cao, J. 2009. A modified least squares support vector machine classifier with application to credit risk analysis, International Journal of Information Technology & Decision Making 8 4: 697-710. http://dx.doi.org/10.1142/S0219622009003600
78. Zavadskas, E. K.; Turskis, Z.; Tamošaitiene, J. 2010. Risk assessment of construction projects, Journal of Civil Engineering and Management 16 1: 33-46. http://dx.doi.org/10.3846/jcem.2010.03