A Stock Selection Model Based on Analytic Hierarchy Process, Factor Analysis and TOPSIS
【摘要】：Whether institutional investors or individual investors need to select valuable stocks form stock markets. In this paper, analytic hierarchy process(APH) is utilized to build a comprehensive industry evaluation system by considering various factors that affect the industry. Then we combine factor analysis and technique of order preference by similarity to ideal solution(TOPSIS) to evaluate companies in the determined industry based on fundamental financial indexes. Investors can choose the companies with evaluation values in the top α % to invest. At last we apply our model to Chinese stock market and the experiment receives 75% average excess returns in 2006.