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Evaluation Of Equity Mutual Funds’ Performance Using A Multicriteria Methodology

Author

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  • K. Pendaraki
  • C. Zopounidis

Abstract

The evaluation of the performance of mutual funds has been a very interesting research topic for not only researchers, but also for managers of financial, banking and investment institutions. In this study a well-known MCDA method based on the theory of outranking relations, the PROMETHEE II method (Preference Ranking Organisation Method for Enrichment Evaluations; Brans & Vincke, 1985) is used to develop outranking models for mutual funds’ performance. This method is applied on real-world data of mutual funds derived from the Association of Greek Institutional Investors. The results of the PROMETHEE II method are indicative of ranking the funds from the best to the worst ones according to their performance.

Suggested Citation

  • K. Pendaraki & C. Zopounidis, 2003. "Evaluation Of Equity Mutual Funds’ Performance Using A Multicriteria Methodology," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 143-162, July - De.
    • Handle: RePEc:ers:journl:v:vi:y:2003:i:3-4:p:143-162
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    Citations

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    Cited by:

    1. Xiangyu Cui & Jianjun Gao & Yun Shi, 2021. "Multi-period mean–variance portfolio optimization with management fees," Operational Research, Springer, vol. 21(2), pages 1333-1354, June.
    2. Agata Sielska, 2010. "Multicriteria rankings of open-end investment funds and their stability," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 20(1), pages 111-129.
    3. Evangelos-Nikolaos D. Madias & Lambros T. Doulos & Panagiotis A. Kontaxis & Frangiskos V. Topalis, 2021. "A decision support system for techno-economic evaluation of indoor lighting systems with LED luminaires," Operational Research, Springer, vol. 21(2), pages 1403-1422, June.

    More about this item

    Keywords

    Mutual funds; Multicriteria analysis; Ranking;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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