Daugiakriterinių sprendimų priėmimo metodo taikymas formuojant vertės investicinį portfelį

LTTyrinėdamos investicinių portfelių formavimą daugelis teorijų atsižvelgia į istorinius aktyvų duomenis. Istorinių duomenų analizė ne visada padeda uždirbti laukiamą grąžą, todėl investuotojai vertybinius popierius vertina remdamiesi papildomais fundamentaliaisiais, techniniais ar kitokiais rodikliais. Kai kurie garsūs vertės investuotojai (W. J. Schloss, C. Munger, C. H. Browne) gauna du ar daugiau kartų didesnę nei palyginamojo indekso grąžą. Šiame straipsnyje investicinis portfelis analizuojamas ir formuojamas naudojantis vertės investavimo strategija. Aktyvų patrauklumui įvertinti naudojamas daugiakriterinių sprendimų priėmimo metodas. Atliktas tyrimas parodė, kad pasiūlytas akcijų patrauklumo vertinimo metodas leido pasiekti didesnio pelningumo su santykinai maža rizika nei palyginamieji Markowitz, lygiomis dalimis sudaryti portfeliai bei OMXBBPI indeksas. [Iš leidinio]

ENWhen stock prices are rising, it encourages investors to invest in capital markets and seek to make capital gain. Growing activity in the capital markets forces us to ask a question, how to effectively invest in them. Currently there are a lot of different investment strategies, also investors create and improve their own strategies. Frequently, strategies used to manage investment portfolio can be divided into passive and active, which in turn can be divided according to the model characteristics. There are various models to form an investment portfolio, such as Markowitz model, Capital Asset Pricing Model, Arbitrage pricing theory and the Three-factor model. Some of these models are far too difficult for individual investors. In addition, use of standard deviation or beta coefficient to assessment a risk, creates even more questions, rather than provide any answers. It is difficult to evaluate the risk of investment, when standard deviation is used to measure a risk. So, is it appropriate to use just the expected return and standard deviation for evaluation of securities, but do not use fundamentai parameters that can affect both return and risk. The aim of this paper is to draw on empirical research to identify opportunities of evaluation, attraction of securities, by using a multiple criteria decision making model and offer a value investment portfolio model. Most investment portfolio optimization theories are oriented to historical price changes. However, the use of historical prices does not always help to reach an expected return. Investors are also using various indicators, such as fundamental, technical or others. Some of the famous value investors reach a long-term historical profitability, which is twice or even more times larger than the average benchmark index.The strategy of value investment is analyzed and an investment portfolio is formed by using the strategy in this article. It has used a multiple criteria decision making model COPRAS, to evaluate attractiveness of stock. This model is characterized by the fact that many investors can evaluate their own performances. Each investor can choose what criteria will determine the attractiveness of stock. There is the possibility to choose fundamentai parameters, technical analysis indicators, analyst recommendations or forecast, etc. Having performed the analysis of the results of the formed investment portfolio, it was found out that the value investment portfolio allows a better return when compared with the Markowitz and equal weights portfolios. Standard deviation of equal weighted portfolio and benchmark index was smaller than the value investment portfolio. The calculated value investment portfolio had the greatest return with a relatively low risk. This shows that the principles of value strategy works and reaches higher returns, even in a short period of time. The suggested model of the formed investment portfolio limits the selection of stock. It is better to buy shares in companies, when they sold relatively cheaply, and sell when stock is valued relatively expensive in the market. [From the publication]