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Towards a goal programming methodology for constructing equity mutual fund portfolios

Zopounidis Konstantinos, Doumpos, Michael, Pendaraki Konstantina

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URI: http://purl.tuc.gr/dl/dias/A4AFF4ED-42AD-4252-AF80-292812500C74
Year 2004
Type of Item Peer-Reviewed Journal Publication
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Bibliographic Citation K. Pendaraki, M. Doumpos , C. Zopounidis ," Towards a goal programming methodology for constructing equity mutual fund portfolios," J. of Asset Manag., vol. 4, no 6, pp.415-428, Apr.2004.doi:10.1057/palgrave.jam.2240120 https://doi.org/10.1057/palgrave.jam.2240120
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Summary

The evaluation of the performance of mutual fund (MF) portfolios has been a very interesting research topic not only for researchers, but also for managers of financial, banking and investment institutions. In this paper, a multicriteria decision aid framework is proposed for the construction of MF portfolios. The proposed methodology is based on a goal programming approach to determine the proportion of each MF in the constructed portfolios. This methodology is applied on a sample of Greek MFs over the period 1999–2001 with encouraging results

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