Title :
An analytic hierarchy process approach to fixed income market portfolio — The case of South Korean bond market
Author :
Sangheon Han ; DongJoon Lee
Author_Institution :
Fac. of Manage., Nagoya Univ. of Commerce & Bus., Nagoya, Japan
Abstract :
This paper proposes a Korea fixed income portfolio by using the analytic hierarchy process (AHP). We find that each criterion plays an important role in the portfolio. Nevertheless, the effect of the AHP-portfolio on the total returns is trivial. Therefore, we determine that the decision maker prefers the government bond to the others. We also determine that the portfolio generated by AHP accords with the decision maker´s preference.
Keywords :
decision making; investment; South Korean bond market; analytic hierarchy process approach; decision making; fixed income market portfolio; government bond; total returns; Korean bond; analytic hierachy process (AHP); fixed income;
Conference_Titel :
Soft Computing and Intelligent Systems (SCIS) and 13th International Symposium on Advanced Intelligent Systems (ISIS), 2012 Joint 6th International Conference on
Conference_Location :
Kobe
Print_ISBN :
978-1-4673-2742-8
DOI :
10.1109/SCIS-ISIS.2012.6505126
