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Constructing portfolios using argumentation based decision making and performance persistence of mutual funds

Pendaraki Konstantina, Spanoudakis Nikolaos I.

Πλήρης Εγγραφή

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Περίληψη

This paper proposes an argumentation based tool for the selection of mutual funds and then the composition ofefficient portfolios based on the performance persistence of the mutual funds. Argumentation allows for combiningdifferent contexts and preferences in a way that can be optimized. It allows for defining a set of different investmentpolicy scenarios and supports the investor/portfolio manager in composing efficient portfolios that meet his profile.Moreover, the proposed methodological approach and the obtained portfolios are validated through their comparisonto the return of the Market Index and with portfolios obtained using a traditional performance index. This approach isapplied on data of Greek domestic equity mutual funds over the period 2000-2011 with encouraging results.

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