An analytic hierarchy process approach to fixed income market portfolio — The case of South Korean bond market

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.