New continuum of stochastic static forecasting model for mutual funds at investment policy level

Wajid Shakeel Ahmed, Jibran Sheikh, Kashif Ur-Rehman, Khuram Shafi, Shafqat Ali Shad and Faisal Shafique Butt

Chaos, Solitons & Fractals, 2020, vol. 132, issue C

Abstract: Current study mainly focuses at development of quantitative forecasting model that can determine future performance of Pakistani mutual funds at investment policy level. For this purpose stochastic simulation technique proposed by Cuddington and Khindanova, (2011) was considered, which is mainly based upon Monte Carlo simulation method, resulting in means and variances of the observed funds of respective scenarios at future dates with accuracy. The combine effects of proposed scenarios have led us to conclude that existence of momentum effect for all mutual funds categories with exception of ‘Others fund’. This study facilitates the timely need for assessing the mutual funds classes by proposing an investment policy level to ‘Mutual Fund Association of Pakistan’ MUFAP and fund managers alike.

Keywords: Mutual funds; Monte Carlo simulation; Dynamic equation model; E-views MODEL object (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:132:y:2020:i:c:s0960077919305193

DOI: 10.1016/j.chaos.2019.109562

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