On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds |
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| Institution: | 1. Lancaster University Management School, LA1 4YX, UK;2. Athens University of Economics and Business, Greece;1. Lancaster University Management School, LA1 4YX, UK;2. Athens University of Economics and Business, Athens 10434, Greece;1. Léonard de Vinci Pôle Universitaire, Research Center, Paris La Défense, France & EconomiX-CNRS, University of Paris Nanterre, France;2. Léonard de Vinci Pôle Universitaire, Research Center, Paris La Défense, France & CRIISEA, Université de Picardie Jules Verne 10, Placette Lafleur, BP 2716, 80027 Amiens Cedex 1, France |
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| Abstract: | 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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