Institutional Repository
Technical University of Crete
Technical University of Crete
EN
|
EL
| URI | http://purl.tuc.gr/dl/dias/B070C78F-CD29-4585-B0A0-5555ECADAEB8 | - |
| Identifier | http://www.sciencedirect.com/science/article/pii/S0377221703007550 | - |
| Identifier | https://doi.org/10.1016/j.ejor.2003.10.022 | - |
| Language | en | - |
| Extent | 20 pages | en |
| Title | On the construction of mutual fund portfolios: a multicriteria methodology and an application to the Greek market of equity mutual funds | en |
| Creator | Zopounidis Konstantinos | en |
| Creator | Ζοπουνιδης Κωνσταντινος | el |
| Creator | Michael Doumpos | en |
| Creator | Δουμπος Μιχαλης | el |
| Creator | Pendaraki K. | en |
| Publisher | Elsevier | en |
| Content Summary | The evaluation of the performance of mutual funds (MFs) has been a very interesting research topic not only for researchers, but also for managers of financial, banking and investment institutions. In this paper, an integrated methodological framework for the evaluation of MF performance is proposed. The proposed methodology is based on the combination of discrete and continuous multicriteria decision aid (MCDA) methods for MFs selection and composition. In the first stage of the analysis the UTADIS MCDA method is employed in order to develop mutual fund's performance models supporting the selection of a small set of MFs, which will compose the final portfolios. In the second stage, a goal programming model is employed to determine the proportion of the selected MFs in the final portfolios. The methodology is applied on data of Greek MFs over the period 1999–2001 with encouraging results. | en |
| Type of Item | Peer-Reviewed Journal Publication | en |
| Type of Item | Δημοσίευση σε Περιοδικό με Κριτές | el |
| License | http://creativecommons.org/licenses/by/4.0/ | en |
| Date of Item | 2015-11-09 | - |
| Date of Publication | 2005 | - |
| Subject | Mutual funds | en |
| Subject | Multiple criteria analysis | en |
| Subject | Goal programming | en |
| Subject | UTADIS method | en |
| Bibliographic Citation | K. Pendaraki, C. Zopounidis and M. Doumpos, "On the construction of mutual fund portfolios: a multicriteria methodology and an application to the Greek market of equity mutual funds," Europ. J. Operat. Res., vol. 163, no. 2, pp. 462-481, Jun. 2005. doi:10.1016/j.ejor.2003.10.022 | en |
Copyright © DIAS 2013
