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Investment Opportunities Identification Based on Macroeconomic Development, the Multiple Criteria Decision Approach

Faculty of Social and Economic Sciences, Comenius University in Bratislava, Mlynské luhy 4, 821 05 Bratislava, Slovakia
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Symmetry 2019, 11(6), 827; https://doi.org/10.3390/sym11060827
Received: 5 June 2019 / Revised: 18 June 2019 / Accepted: 19 June 2019 / Published: 22 June 2019
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Abstract

The aim of this work is to develop a “learning model” which outranks countries according to their confrontation of historical macroeconomic indicators for a given period of time with the spreads at the end of that time and to formulate a forward-looking investment strategy regarding government bonds for the following time period. The mechanism of identifying investment opportunities among government bonds is based on the multiple criteria decision making technique, and we look to the Promethee II method as a symmetry approach to country ordering. The spread is defined as the difference between the yield to maturity of the 10-year government bond of a country and the Germany government bond with the same maturity. In this paper, an optimization approach based on three models is developed to find the weights of importance for macroeconomic characteristics, together with a sensitivity analysis on changes in these characteristics. The method was applied to 17 European countries characterized by 16 macroeconomic characteristics. The originality of this paper lies in the two-stage approach to the investment strategy construction based on criteria weights optimization with stability intervals for their values. View Full-Text
Keywords: macroeconomic criteria; spreads; multiple criteria approach; criteria importance weights macroeconomic criteria; spreads; multiple criteria approach; criteria importance weights
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Mitkova, V.; Mlynarovič, V. Investment Opportunities Identification Based on Macroeconomic Development, the Multiple Criteria Decision Approach. Symmetry 2019, 11, 827.

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