Towards a Goal Programming Methodology for Constructing Equity Mutual Fund Portfolios

D. Sarath Sen Reddy, Harish Babu G.A

Abstract


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 Indian MFs over the period 2007-2006 with encouraging results.

Full Text:

PDF

References


DIONYSIS LATINOPOULOS [2009]: Multicriteria decision-making for efficient water and land resources allocation in irrigated agriculture Journal of Environment, Development and Sustainability, 329-343.

DOMINIAK .C [1997] An Application of Interactive Multiple Goal Programming on the Warsaw Stock Exchange In R. Caballero, F. Ruiz, and R. E. Steuer (eds.), Lecture Notes in Economics and Mathematical Systems, Vol. 455, Springer Verlag, Berlin, 66-74.

DOMINIQUE BOLLINGER AND JACQUES PICTET[2008]: Multiple criteria decision analysis of treatment and land-filling technologies for waste incineration residues. Omega, 36(3),418 – 428.

DOUMPOS. M AND ZOPOUNIDIS C. [2001]: Assessing Financial Risks Using a Multicriteria Sorting Procedure: The Case of Country Risk Assessment Omega, 29(1), 97-109.

DOWLATABADI H, MORGAN M.G [1993]: A Model framework for integrated studies of climate problem Energy Policy 21(3), 209-221.

DOWLATSHII D [2001]: Product life cycle analysis: A good programming approach, Journal of Operational Research, 52, 1201-1214.

EHRGOTT M AND WIECEK MM [2005]: Multiobjective Programming .In FigueiraJ,Greco S and Ehrgott M editors,Multiple Criteria Decision Analysis, state of the Art Surveys. Springer Verlag, pages 667-772, Boston, Dordrecht, London.

ESCHENAUER HA, KOSKI J AND OSYCZKA A [1990]: Multicriteria Design Optimization, Springer.

FIGUEIRA J, GRECO S., V. MOUSSEAU V. AND SLOWINSKI R.[2008]: Interactive Multiobjective Optimization using a Set of Additive Value Functions.,Multiobjective Optimization Approaches, pages 99--122.

FERNANDO GARCÍA , FRANCISCO GUIJARRO ,AND ISMAEL MOYA [2010] A goal programming approach to estimating performance weights for ranking firms

GANG KOU & YIPENG [2009]: A bioliography Analysis of multi criteria decision making in computer science A journal of Communications in computer & information science. July 68-71.

GAO R. AND Z. HU [1998]: A Multicriteria Network Model for financial Planning. In S. Wang,G.Chen,W. Fu, and X.Yang (eds.),Advances in Multiple Criteria Decision making ,Global Link Publishing ,Hong Kong,115-118.

GAO, ZHEN AND LIXIN TANG [2003]: A multi-objective model for bulk raw materials of large-scale integrated steel plant, International Journal of Production Economy,83-3,325-336.

GARDINER LR AND STEUER R [1994]: Unified interactive multiple objective programming, European Journal of Operational Research 74,391-406.

GEN K.LDA M, TSUJIMIRA Y AND KIM CE [1993] : Large-Scale 0-1 fuzzy goal programming and its application to reliability optimization problem, Computer, Instustrial Engineering 24[4],539-549.

GIOKASD AND VASSILOGLOU M [1991]: A Goal Programming Model for Bank Assets and Liabilities Management European Journal of Operational Research 50(1), 48-60.

GUPTA YP, EVANS EW AND GUPTA MC [1991]: A review of multi-criterion approaches to FMS scheduling problems, International Journal of Production Economics 22, 13-31.

HAHME M, JORO T, KORHONEN P, SALO S AND WALLENIUS J [1999]: A Value efficiency approach to incorporating Preference information in data envelopment analysis. Management Science 45, 103 - 115.




DOI: https://doi.org/10.23956/ijarcsse.v7i9.419

Refbacks

  • There are currently no refbacks.

Comments on this article

View all comments


Bookmark and Share


© International Journals of Advanced Research in Computer Science and Software Engineering (IJARCSSE)| All Rights Reserved | Powered by Advance Academic Publisher.