Abstract-Securities investment in the capital market is one of the key factors in the socialism economic system.In order to optimize the return on investment, investors will build portfolio of their securities. The decision support system is intentionally developed for investment to select the securities in the Thai stock market, from a properly diversified stock portfolio, by using multi-criteria decision making technique. The hierarchical methods like AHP make complex decisions become easy make it easy in multi-criteria chosen. The system lets the user to create a rating for each criterion, calculates a relative weight to each criterion and then ranks securities listed on the stock market. Finally, the top rank security are collected to the portfolio. For further study, a decision support system for the capital investment planning and analysis to resolve, how much securities, bonds, gold, properties, and cash in hand needed to be invested, will be developed.Index Terms-AHP, decision support system, portfolio management, multi-criteria selection.
I. INTRODUCTIONSecurities investment in the capital market is one of the key factors in the socialism economic system. The enterprises are generally looking for the opportunities to expand in the condition of economic growth. Financial system can trigger off the growth in capital markets through issuing stocks and bonds. Investors or decision-makers monitor the changing of the capital market and environments via the economic, the monetary, the political, and the psychological forces. In this sense, they need to have enough data and information which are most accurate and up-to-date [1].In order to optimize the return on investment, investors will build portfolio of their securities. The efficient portfolio can only be acquired when the stocks in the portfolio show negatively correlated investments. Thus, the securities selection in the portfolio should not be based from only one industry because of their tendency to correlate strongly Decision support system is a computer system designed to help decision-makers improve decision making. They can be defined as an approach to effective decision making involving an interface between the individual and computer, from problem formulation to solution [4].The proposed decision support system is developed for investment decision-making to select the securities in the Thai stock market, from a properly diversified stock portfolio. The multi-criteria selection which is applied to optimize the return on investment is financial ratio including: operating profit margin, debt to equity, price earnings ratio, and price to book value. The measurement of these ratios is usually used for indicating the performance of the enterprises. An interactive computer-based system includes three major parts: database; model base; and user interface.
II. LITERATURE REVIEW
A. Analytical Hierarchical Process (AHP) MethodVery frequently, when analyzing a problem, the amount of entities and their multiple relations increase beyond the ability of people ...