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Ιδρυματικό Αποθετήριο [SANDBOX]
Πολυτεχνείο Κρήτης
Πολυτεχνείο Κρήτης
EN
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EL
| URI: | http://purl.tuc.gr/dl/dias/B070C78F-CD29-4585-B0A0-5555ECADAEB8 | ||
| Έτος | 2005 | ||
| Τύπος | Δημοσίευση σε Περιοδικό με Κριτές | ||
| Άδεια Χρήσης |
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| Βιβλιογραφική Αναφορά | 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 https://doi.org/10.1016/j.ejor.2003.10.022 | ||
| Εμφανίζεται στις Συλλογές |
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.
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