Determining of stock investments with grey relational analysis

Authors:
Coşkun Hamzaçebi;Mehmet Pekkaya
Affiliations:
Karadeniz Technical University, Department of Industrial Engineering, Trabzon, Turkey;Z. Karaelmas University, Department of Business Administration, Zonguldak, Turkey
Venue:
Expert Systems with Applications: An International Journal
Year:
2011

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Abstract

Selecting stock is important problem for investors. Investors can use related financial ratios in stock selection. These kind of worthy financial ratios can be obtained from financial statements. The investors can use these ratios as criteria while they are selecting the stocks. Since dealing with more than one financial ratio, the investing issue becomes multi-criteria decision making (MCDM) problem for the investors. There are various techniques for solving MCDM problems in literature. In this study grey relational analysis (GRA) is used for ordering some financial firms' stocks which are in Financial Sector Index of Istanbul Stock Exchange (ISE). Besides, because of the importance of criteria weights in decision making, three different approaches - heuristic, Analytic Hierarchy Process, learning via sample - were experimented to find best values of criteria weights in GRA process.