publication . Article . 2012

Multi-objective portfolio optimization of mutual funds under downside risk measure using fuzzy theory

M. Amiri; M. Zandieh; A. Alimi;
Open Access English
  • Published: 01 Oct 2012 Journal: International Journal of Industrial Engineering Computations (issn: 1923-2926, eissn: 1923-2934, Copyright policy)
  • Publisher: Growing Science
Abstract
Mutual fund is one of the most popular techniques for many people to invest their funds where a professional fund manager invests people's funds based on some special predefined objectives; therefore, performance evaluation of mutual funds is an important problem. This paper proposes a multi-objective portfolio optimization to offer asset allocation. The proposed model clusters mutual funds with two methods based on six characteristics including rate of return, variance, semivariance, turnover rate, Treynor index and Sharpe index. Semivariance is used as a downside risk measure. The proposed model of this paper uses fuzzy variables for return rate and semivarian...
Subjects
free text keywords: Clustering, Portfolio optimization, Mean-semivariance, Multi-objective non-linear programming, Fuzzy technique programming, Pareto optimal solution, Industrial engineering. Management engineering, T55.4-60.8, Production management. Operations management, TS155-194
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