1Veerendra Anchan, 2Sahil Shailendra Vaidya, 3Ankita jain, 4Rinkle Chaplot
1Assistant Professor, Anil Surendra Modi School of Commerce, NMIMS University, Mumbai
2,3,4 M.Sc. (Finance) Anil Surendra Modi School of Commerce, NMIMS University, Mumbai
DOI : https://doi.org/10.47191/ijmra/v7-i11-20Google Scholar Download Pdf
ABSTRACT:
Purpose:
The paper deals with the financial performance of public sector firms and mutual fund schemes using fuzzy Analytic Hierarchy Process (AHP) for PSU stocks in the BSE PSU Index and fuzzy Multi-Attribute Utility Theory (MAUT) for PSU mutual fund schemes with Assets under Management (AUM) of 1,000 crores and above.
Methodology:
We have used fuzzy AHP to analyze the performance of selected PSU stocks on key performance indicators such as EPS, P/E ratio, and Return on Equity. Fuzzy MAUT is used to evaluate the performance of eligible mutual funds over five years.
Findings:
High profitability is evident at BEML Ltd whereas ITI yields negative EPS and ROE. ICICI Prudential exhibits strong performance with positive Sharpe as well as Treynor ratios, whereas the Sharpe ratio of most of the other funds is negative. The PSU stock returns along with their corresponding mutual fund returns highlight the significance of performance measures in investing.
Originality:
The paper combines ideas from fuzzy logic with traditional financial analysis to create a more balanced approach to evaluating PSU stocks and mutual fund investments.
Public Sector Enterprises, Financial Performance, Fuzzy Logic, Analytic Hierarchy Process, Multi-Attribute Utility Theory, PSU Mutual Funds, BSE PSU Index
REFERENCES1) Alfiana, A. et al. (2024) ‘Analysis Of The Effect Of Macroeconomic Variables On Returns Of Mutual Fund Shares Traded At State Owned Bank’, JEMSI (Jurnal Ekonomi, Manajemen, dan Akuntansi), 10(1), pp. 223–228. Available at: https://doi.org/10.35870/jemsi.v10i1.1898.
2) Alg, C. and Biswas, S. (2024) ‘Computational Algorithms and Numerical Dimensions www.journal-cand.com A Fuzzy Compromise Solution Framework for Assessing the Early Effect of COVID-19 on Global Stock Indices Citation’, Num. Dim, 3(4), pp. 252–276. Available at: https://doi.org/10.22105/cand.2024.475801.1108.
3) Alptekin, N. (2009) ‘PERFORMANCE EVALUATION OF TURKISH TYPE A MUTUAL FUNDS AND PENSION STOCK FUNDS BY USING TOPSIS METHOD’, INTERNATIONAL JOURNAL OF ECONOMICS AND FINANCE, 1(2).
4) Asadabadi, M.R., Chang, E. and Saberi, M. (2019) ‘Are MCDM methods useful? A critical review of Analytic Hierarchy Process (AHP) and Analytic Network Process (ANP)’, Cogent Engineering, 6(1). Available at: a. https://doi.org/10.1080/23311916.2019.1623153.
5) Atta Mills, E.F.E. et al. (2020) ‘A hybrid grey MCDM approach for asset allocation: Evidence from China’s Shanghai stock exchange’, Journal of Business Economics and Management, 21(2), pp. 446–472. Available at: a. https://doi.org/10.3846/jbem.2020.11967.
6) Bakry, W. et al. (2021) ‘Risk and Financial Management Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach’. Available at: https://doi.org/10.3390/jrfm.
7) Bhole, G.P. (2018) ‘Multi Criteria Decision Making (MCDM) Methods and its applications’, International Journal for Research in Applied Science and Engineering Technology, 6(5), pp. 899–915. Available at: a. https://doi.org/10.22214/ijraset.2018.5145.
8) Bimonthly, E. (no date) ‘JAMSHEDPUR REARCH REVIEW YEAR 7 Volume 2 Issue 33’, Jamshedpur Research Review-Govt. Regd., Refereed, Peer Reviewed [Preprint]. Available at: www.jamshedpurresearchreview.com.
9) Bonissone, P.P., Subbu, R. and Lizzi, J. (2009) ‘Multicriteria decision making (MCDM): A framework for research and applications’, IEEE Computational Intelligence Magazine, 4(3), pp. 48–61. Available at: a. https://doi.org/10.1109/MCI.2009.933093.
10) Chen, R. and Ren, J. (2022) ‘Do AI-powered mutual funds perform better?’, Finance Research Letters, 47. Available at: https://doi.org/10.1016/j.frl.2021.102616.
11) Cui, Y. and Cheng, C. (2022) ‘Modern Portfolio Theory and Application in Australia’, Journal of Economics, Business and Management, 10(2), pp. 128–132. Available at: https://doi.org/10.18178/joebm.2022.10.2.686.
12) Elmas, B., Demir, B. and Aydın, S. (2024) ‘Analysis of Behavioral Biases Affecting Investment Decisions of Individual Investors using Analytical Hierarchy Process’, Trends in Business and Economics, 38(3), pp. 138–146. Available at: https://doi.org/10.16951/trendbusecon.1506923.
13) Fazli, S. and Jafari, H. (2012) ‘Developing a hybrid multi-criteria model for investment in stock exchange’, Management Science Letters, 2(2), pp. 457–468. Available at: https://doi.org/10.5267/j.msl.2012.01.011.
14) Garcia-Bernabeu, A. et al. (2024) ‘ESG integration in portfolio selection: A robust preferencebased multicriteria approach’, Operations Research Perspectives, 12. Available at: https://doi.org/10.1016/j.orp.2024.100305.
15) Gupta, S. et al. (2023) ‘AN INTEGRATED FRAMEWORK FOR CLASSIFICATION AND SELECTION OF STOCKS FOR PORTFOLIO CONSTRUCTION: EVIDENCE FROM NSE, INDIA’, Decision Making: Applications in Management and Engineering, 6(1), pp. 774–803. Available at: https://doi.org/10.31181/dmame0318062021g.
16) Işık, Ö., Çalık, A. and Shabir, M. (2024) ‘A Consolidated MCDM Framework for Overall Performance Assessment of Listed Insurance Companies Based on Ranking Strategies’, Computational Economics [Preprint]. Available at: a. https://doi.org/10.1007/s10614-024-105785.
17) Jana, S. et al. (2024) ‘Application of Fuzzy AHP in Priority Based Selection of Financial Indices: A Perspective for Investors’, Economics, 12(1), pp. 1–27. Available at: https://doi.org/10.2478/eoik-2024-0007.
18) Kiriş, Ş. and Ustun, O. (2012) ‘An integrated approach for stock evaluation and portfolio optimization’,Optimization, 61(4), pp. 423–441. Available at: https://doi.org/10.1080/02331934.2011.644285.
19) Kou, G. et al. (2021) ‘Fintech investments in European banks: a hybrid IT2 fuzzy multidimensional decision-making approach’, Financial Innovation, 7(1). Available at: https://doi.org/10.1186/s40854-021-00256-y.
20) Moradpour, N. (2021) ‘Ranking Mutual Funds Performance Based on Post-modern Portfolio Theory Indicators Using Multi-Criteria Decision-Making Methods’, International Journal of Management, Accounting and Economics, 8(1). Available at: www.ijmae.com.
21) Poklepović, T. and Babić, Z. (2014) Stock selection using a hybrid MCDM approach, Croatian Operational Research Review. Available at: http://www.hdoi.hr/crorr-journal.
22) Senfi, S., Sheikh, R. and Sana, S.S. (2024) ‘A portfolio selection using the intuitionistic fuzzy analytic hierarchy process: A case study of the Tehran Stock Exchange’, Green Finance, 6(2), pp. 219–248. Available at: a. https://doi.org/10.3934/GF.2024009.
23) Senthilkumar, A., Namboothiri, A. and Rajeev, S. (2022) ‘Does portfolio optimization favor sector or broad market investments?’, Journal of Public Affairs, 22(S1). Available at: https://doi.org/10.1002/pa.2752.
24) Singh, A. and Kumar Malik, S. (2014) Major MCDM Techniques and their application-A Review. Available at: www.iosrjen.org.
25) Varmazyar, M., Dehghanbaghi, M. and Afkhami, M. (2016) ‘A novel hybrid MCDM model for performance evaluation of research and technology organizations based on BSC approach’,Evaluation and Program Planning, 58, pp. 125–140. Available at: https://doi.org/10.1016/j.evalprogplan.2016.06.005.
26) Vuković, M., Pivac, S. and Babić, Z. (2020) ‘Comparative analysis of stock selection using a hybrid MCDM approach and modern portfolio theory’, 6(2), pp. 58–68. Available at: https://doi.org/10.1515/crebss.
27) Zavadskas, E.K. and Turskis, Z. (2011) ‘Multiple criteria decision making (MCDM) methods in economics: An overview’, Technological and Economic Development of Economy, 17(2), pp. 397–427. Available at: a. https://doi.org/10.3846/20294913.2011.593291.
Volume 07 Issue 11 November 2024
There is an Open Access article, distributed under the term of the Creative Commons Attribution – Non Commercial 4.0 International (CC BY-NC 4.0) (https://creativecommons.org/licenses/by-nc/4.0/), which permits remixing, adapting and building upon the work for non-commercial use, provided the original work is properly cited.
Our Services and Policies
Authors should prepare their manuscripts according to the instructions given in the authors' guidelines. Manuscripts which do not conform to the format and style of the Journal may be returned to the authors for revision or rejected.
The Journal reserves the right to make any further formal changes and language corrections necessary in a manuscript accepted for publication so that it conforms to the formatting requirements of the Journal.
International Journal of Multidisciplinary Research and Analysis will publish 12 monthly online issues per year,IJMRA publishes articles as soon as the final copy-edited version is approved. IJMRA publishes articles and review papers of all subjects area.
Open access is a mechanism by which research outputs are distributed online, Hybrid open access journals, contain a mixture of open access articles and closed access articles.
International Journal of Multidisciplinary Research and Analysis initiate a call for research paper for Volume 07 Issue 11 (November 2024).
PUBLICATION DATES:
1) Last Date of Submission : 26 November 2024 .
2) Article published within a week.
3) Submit Article : editor@ijmra.in or Online
Why with us
1 : IJMRA only accepts original and high quality research and technical papers.
2 : Paper will publish immediately in current issue after registration.
3 : Authors can download their full papers at any time with digital certificate.
The Editors reserve the right to reject papers without sending them out for review.
Authors should prepare their manuscripts according to the instructions given in the authors' guidelines. Manuscripts which do not conform to the format and style of the Journal may be returned to the authors for revision or rejected. The Journal reserves the right to make any further formal changes and language corrections necessary in a manuscript accepted for publication so that it conforms to the formatting requirements of the Journal.