Využití interaktivní metody vícekriteriálního programování KSU-STEM pro optimalizaci akciového portfolia

The purpose of this thesis is to create optimised stock portfolios for two types of investors with different attitudes towards risk. The analysis is done using multicriteria decision making and a two-stage decision making process. In the first phase of this process, the input set of stocks is limited to effective stocks from each of the stock sectors using the multicriteria evaluation method ELECTRE I. In the second phase, optimal portfolios are compiled from effective stocks using the interactive multicriteria programming method KSU-STEM. The decision making criteria are current information obtained from stock exchanges and characteristics of stocks, calculated on the basis of the historical development of stock prices and dividends paid. Saaty’s method is used to evaluate the importance of the criteria because it requires suitable information from the decision-maker. The thesis presents a basic theoretical foundation for multicriteria decision making, focussing on a description of the methods used, and also for the capital market, including a description of the investment decision-making process and definitions of the characteristics of investment instruments. The MS Excel program is used to process the input data, the ELECTRE I method is implemented using a programmed function in the program R, and the Lingo software is used to optimize the portfolio using the KSU-STEM method. During the application of the two-phase decision making process, the results of the work are analyzed in detail, both verbally and graphically, focusing on a comparison based on the investors’ attitudes towards risk.