层次分析法在选股决策中的应用

应用层次分析法建立了股票选择的数学模型,并选择了4只热门股票作为备选股票,从理论和实际两方面对模型的合理性进行了检验.     

属性层次模型(AHM)在选股决策中的应用

应用属性层次模型(Attribute Hierarchy Model,简称AHM)理论,对投资股票项目中的股票进行评价,进而做出合理的选择决策,并通过实例验证了此方法的有效性.     

公司财务状况与股票收益

本文介绍了对公司财务状况进行综合评价的因子分析法,并利用2001年我国工业类上市公司的财务数据进行实证分析。根据样本公司财务状况综合得分的排序,我们选择财务状况较好和较差两种类型的公司组成子样本,然后通过两组子样本公司之间股票周收益率均值及方差的比较,检验公司财务状况的好坏与股票收益率高低之间的相关性。我们的研究结论是:与投资于财务状况较差公司的股票相比,投资于财务状况较好公司的股票,有着相近的期望收益率,却只需承担较小的预期风险,据此判断,我国股市尚未达到半强式有效。     

基于熵权模糊综合评价模型的股票内在价值研究

针对股票内在价值评判方法中指标权重设定的主观性缺陷,提出在利用熵权确定各指标权重的基础上,运用模糊综合评价方法对股票会计信息的综合指标进行模糊处理,为投资者投资股票提供一种新的参考;并通过"一带一路"概念股中的五支工程基建行业类股票进行模拟实证分析,证明将会计信息进行相关量化处理,能够为投资者提供较为客观的选择,同时基于熵权的模糊综合评价模型在股票内在价值评价中具有可行性.     

随机参数和随机资金流环境下基于二次效用函数的投资组合优化

研究完全市场下基于二次效用最大化的带有随机资金流的动态投资组合选择问题,其中假设无风险利率、股票收益率和波动率矩阵都是一致有界随机过程.通过应用线性二次控制方法和向后随机微分方程理论得到了最优投资组合的解析表达式.     

投资项目选择的风险评价AHP模型及其应用

论述了投资项目选择问题的重要性 ,对常用的投资项目选择方法进行了综述分析 ,探讨了投资项目选择的风险评价指标体系和层次分析法的基本原理 ,提出了投资项目选择的风险评价层次分析模型 ,并以实例说明了如何将层次分析法应用于投资项目选择的风险评价问题 .     

基于HWSME的股票最佳投资区域起端的模糊综合评判方法

寻找进入主升浪的股票对投资效益最大化意义重大.讨论并界定了股票最佳投资区域,借助于HWSME和模糊综合评判,建立了股票最佳投资区域起端的模糊综合评判方法,构建了评价指标体系和隶属函数.通过对中国股票市场部分股票进行了横向和纵向预测实验,结果证明了方法的有效性.对投资效益最大化提供了强有力的分析工具.     

基于二次效用函数的投资组合问题研究

设无风险利率、股票收益率和波动率都是一致有界随机过程,在股票价格服从跳跃一扩散过程时,同时考虑具有随机资金流的介入,研究了二次效用的动态投资组合选择优化问题,通过随机线性二次控制和倒向随机微分方程得到了最优投资组合策略的解析表达式.     

基于傅里叶分析法的股票市场超高频数据相关性分析

股票市场超高频数据具有交易间隔随机性的特点,传统的皮尔逊相关性度量不能够直接使用原始交易数据,需要通过插值得到均匀、同步的抽样序列.傅里叶分析法不需要对原始数据进行插值,能更精确地度量时间序列的相关性.将傅里叶分析法用于我国金融市场股票收益率的相关性分析中,对皮尔逊相关分析和傅里叶分析法的度量效果进行了比较.     

基于粗糙集-层次分析法的制造业供应商评价选择

制造企业在确定供应商过程中,必须对供应商进行评价和选择,由于制造业的加工设备和加工工艺的复杂性,同时要确保供应商供货稳定和质量保证等多方面的因素,其评价指标体系必然有别于其它行业的评价指标.采用粗糙集属性约简的方法,对供应商评价选择指标进行约简分析,运用层次分析法对供应商进行评价选择.     

一种加性AHP法的构造及应用

首先分析了 Satty的传统 AHP法的缺陷 ,然后给出了加性 AHP法的构造原理及权值求法 ,并以一实例说明加性 AHP法在多指标决策分析中的应用 .最后指出加性 AHP法是一种较之传统 AHP法更方便可行的方法 .     

Does AHP help us make a choice? An experimental evaluation

In this paper, we use experimental economics methods to test how well Analytic Hierarchy Process (AHP) fares as a choice support system in a real decision problem. AHP provides a ranking that we statistically compare with three additional rankings given by the subjects in the experiment: one at the beginning, one after providing AHP with the necessary pair-wise comparisons and one after learning the ranking provided by AHP. While the rankings vary widely across subjects, we observe that for each individual all four rankings are similar. Hence, subjects are consistent and AHP is, for the most part, able to replicate their rankings. Furthermore, while the rankings are similar, we do find that the AHP ranking helps the decision makers reformulate their choices by taking into account suggestions made by AHP.     

Group decision making in a multiple criteria environment: A case using the AHP in software selection

This paper reports the results of a case study where the analytic hierarchy process (AHP) technique was employed to support the selection of a multi-media authorizing system (MAS) in a group decision environment. Three MAS products were identified and ultimately ranked using the AHP. Six software engineers, who are technically competent and experienced, participated in our study. These engineers were trained to use the AHP and asked to apply this technique to select the most appropriate MAS product for adoption. A post-study survey and interview were conducted with all the engineers to collect further feedback on the use of the AHP, as compared to their frequently used Delphi technique, in supporting group decisions. The experiment results and survey findings indicated that the AHP is preferable to Delphi as the AHP helps group members center a discussion around objectives, rather than alternatives. We also found the AHP to be more conducive to consensus building in group decision settings.     

On the efficacy of modeling multi-attribute decision problems using AHP and Sinarchy

AHP is a multi-attribute decision-making methodology widely used by both practitioners and researchers. In the 1980s, critics had raised questions regarding its proper use. There were quite a few suggested modifications to overcome the supposed limitations of AHP. These modifications are themselves limited as they typically impede the applicability of AHP. In this paper, we revisit some of the earlier criticisms. We have two objectives (1) to articulate the proper use of AHP by highlighting the assumptions and implications underlying AHP, and (2) to show that Sinarchy can be used to address the earlier criticisms while maintaining the applicability of the AHP framework. We identify that in AHP, tradeoffs between criteria vary amongst individual alternatives and are dependent on the alternative’s proportion of contribution towards each criterion. For problems where tradeoffs between criteria are in terms of their relative measurements, Sinarchy should be used. It is also shown that Sinarchy can prevent rank reversal. Illustrative examples are included throughout.     

Numerical scales generated individually for analytic hierarchy process

Because individual interpretations of the analytic hierarchy process (AHP) linguistic scale vary for each user, this study proposes a novel framework that AHP decision makers can use to generate numerical scales individually, based on the 2-tuple linguistic modeling of AHP scale problems. By using the concept of transitive calibration, individual characteristics in understanding the AHP linguistic scale are first defined. An algorithm is then proposed for detecting the individual characteristics from the linguistic pairwise comparison data that is associated with each of the AHP individual decision makers. Finally, a nonlinear programming model is proposed to generate individual numerical scales that optimally match the obtained individual characteristics. Two well-known numerical examples are re-examined using the proposed framework to demonstrate its validity.     

Fuzzy analytic hierarchy process: Fallacy of the popular methods

The fuzzy Analytic Hierarchy Process (fuzzy AHP) is a very popular decision making method and literally thousands of papers have been published about it. However, we find the basic logic of this approach has problems. From its methodology, the definition and operational rules of fuzzy numbers not only oppose the main logic of fuzzy set theory, but also oppose the basic principles of the AHP. In dealing with the outcomes, fuzzy AHP does not give a generally accepted method to rank fuzzy numbers and a way to check the validity of the results. Besides, we discuss the validity of the Analytic Hierarchy/Network Process (AHP/ANP) in complex and uncertain environments and find that fuzzy ANP is a false proposition because there is no fuzzy priority in the super matrix which provides the basis for the ANP. Although fuzzy AHP has been applied in many cases and cited hundreds of times, we hoped that those who use fuzzy AHP would understand the problems associated with this method.     

层次分析法判断矩阵可靠性探讨

层次分析法判断矩阵中可能会存在相互矛盾的一系列判断元素.通过一个房产评估例子论述这种矛盾造成的原因.为解决这类矛盾,对层次分析法的判断矩阵进行改进:判断矩阵的元素不是通过直接两两比较重要性而得,而是首先按照一定的标准建立评分矩阵,然后对评分矩阵进行矩阵变换形成判断矩阵.根据AHP法改进判断矩阵形成的过程,提出判别层次分析法判断矩阵可靠性的方法.     

DS/AHP method: A mathematical analysis,including an understanding of uncertainty

The analytic hierarchy process (AHP) was developed to aid decision makers to rank or sort information based on a number of criteria. A recent advance is the DS/AHP method which incorporates the Dempster–Shafer theory of evidence with AHP. This method allows judgements on groups of decision alternatives (DA) to be made, it also offers a measure of uncertainty in the final results. In this paper a mathematical analysis of DS/AHP is included, constructing the functional form of the preference weightings given to groups of DA. These functions allow an understanding of the appropriateness of the rating scale values used in the DS/AHP method, through evaluating the range of uncertainty able to be expressed by the decision maker.     

基于DS/AHP的供应商选择方法

供应商选择方法有很多种，在众多的方法中层次分析法以能够将定性指标定量化而被广泛应用于供应商选择决策中。考虑到供应商选择问题中包含有很多的不确定性而证据理论在处理不确定问题又有着独特的优点，因此本文采用了一种由层次分析法和证据理论结合而产生的DS／AHP决策方法，并将其应用于供应商选择决策问题中，该方法综合了层次分析法和证据理论的优点，可以更科学的进行供应商选择决策，最后通过一个例子说明这种方法在供应商选择中的应用。     

A comparison of the Saaty's AHP and modified AHP for right and left eigenvector inconsistency

Over the past two decades, Saaty's Analytic Hierarchy Process (AHP) has been developed to solve decision problems in various fields by prioritization of alternatives using eigenvectors and manipulations in matrix algebra. However, a fundamental problem called “Right and Left Eigenvector Inconsistency” has been observed which may yield inconsistent results using the right and the left eigenvectors. A new method known as the Modified AHP has been recently devised by H.A. Donegan, F.J. Dodd, T.B.M. McMaster, The Statistician 41 (1992) 295–302 who claimed that the inconsistency problem can be effectively reduced. This work is an attempt to compare the Saaty's AHP (SAHP) and the Modified AHP (MAHP) using 42 models comprising 294 reciprocal matrices. It was discovered that the Modified AHP is no better than the Saaty's AHP.