Multiple criteria decision analysis methodologies and an application to the Istanbul Stock Exchange

In the business world, effective decision making is one of the most important things at all times. The decision maker should take into account all objectives simultaneously. Multiple criteria decision analysis (MCDA) methodologies can take into consideration many criteria during effective decision making process. The most widely used MCDA techniques are AHP, ELECTRE and TOPSIS. In this paper, we discuss these techniques and their advantages/disadvantages. These techniques were applied to ISE‐30 from 2002‐2012 in Turkey and the most effective three stocks were found. The results of applications are compared within the terms of the techniques' properties and the year‐end returns.