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Towards a goal programming methodology for constructing equity mutual fund portfolios

Author

Listed:
  • Konstantina Pendaraki
  • Michael Doumpos

    (lecturer in operations research at the Technical University of Crete)

  • Constantin Zopounidis

    (Technical University of Crete, Financial Engineering Laboratory, University Campus)

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 Greek MFs over the period 1999–2001 with encouraging results.

Suggested Citation

  • Konstantina Pendaraki & Michael Doumpos & Constantin Zopounidis, 2004. "Towards a goal programming methodology for constructing equity mutual fund portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 4(6), pages 415-428, April.
    • Handle: RePEc:pal:assmgt:v:4:y:2004:i:6:d:10.1057_palgrave.jam.2240120
    DOI: 10.1057/palgrave.jam.2240120
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    Citations

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    Cited by:

    1. Aouni, Belaid & Colapinto, Cinzia & La Torre, Davide, 2014. "Financial portfolio management through the goal programming model: Current state-of-the-art," European Journal of Operational Research, Elsevier, vol. 234(2), pages 536-545.
    2. Ballestero, Enrique & Bravo, Mila & Pérez-Gladish, Blanca & Arenas-Parra, Mar & Plà-Santamaria, David, 2012. "Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives," European Journal of Operational Research, Elsevier, vol. 216(2), pages 487-494.
    3. Ghahtarani, Alireza & Najafi, Amir Abbas, 2013. "Robust goal programming for multi-objective portfolio selection problem," Economic Modelling, Elsevier, vol. 33(C), pages 588-592.

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