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Performance evaluation and portfolio selection of Mutual funds. Journal of Operational Research and Its Applications. 2012; 9 (1)
URL: http://jamlu.liau.ac.ir/article-1-364-en.html
Abstract:   (15479 Views)
Abstract The present study aims at determining a proper decision making model for investment. In this regard, the effective criteria for evaluating the performance of mutual funds are extracted through reviewing research literature. Afterwards, the importance of each criterion (sharp, trainer, Jensen, Sortino) will be assessed through using the Shannon entropy. The study sample includes eight mutual funds. Thus, given the small sample size and incomplete information, concept of grey systems theory and grey relational grade is used for ranking the sample. For this purpose, the actual data, in the period of 2008-2010 is used. After ranking, it came out that “Melli bank”, “Pouya “and “Sahm Ashna” mutual funds had the best performance in the above-mentioned period. Finally, investment ratio in each fund has been determined through offering grey and integer linear programming.
Full-Text [PDF 302 kb]   (16381 Downloads)    
Type of Study: Research | Subject: General
Received: 2012/04/30 | Published: 2012/04/15

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