Main Article Content
This research aimed to study a data envelopment analysis (DEA) and analytic hierarchy process (AHP) by applying them as an investment decision support tool for investors. The data envelopment analysis was employed to analyze 28 securities in SET50 between 2007 and 2011 with the input data of total assets, shareholders’ equity, net income and net profit so as to find securities with good fundamentals, meaning that those stocks were efficient to invest. Those selected securities were further analyzed by AHP by surveying investors with more than five years of investment experience to choose crucial variables and prioritize them to use for selecting securities, then forming the investment scenario with selected securities based on AHP. Finally, Sharpe ratios were calculated and ranked by using data of 2012 and 2016 under the investment period of 6 months, 1 year, 3 years and 5 years. From the study of DEA, it was found that, for a 6-month investment, Sharpe ratios of three-fifths of the selected securities were higher than the average. In terms of investing for 1 year, Sharpe ratios of all selected securities were higher than the average. For 3-year investment, Sharpe ratios of four-fifths of the selected securities were higher than the average. Lastly, in terms of investing for 5 years, Sharpe ratios of only one-fifths of the selected securities were higher than the average. The finding from the study of DEA and AHP revealed that Sharpe ratios of each of selected securities were lower than the average for 6-month and 5-year investments, whereas Sharpe ratios of each of those securities were higher than the average for 1-year and 3-year investments.