PORTFOLIO OF MUTUAL FUNDS USING STOCHASTIC MODELS BASED ON CREDIBILITY THEORY AND THEIR’S PERFORMANCE EVALUATING

Saraj Mansour, Ramezi Gholamali and Sadeghi Ali
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Saraj Mansour: Department of Basic Science, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.
Ramezi Gholamali: Department of Basic Science, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.
Sadeghi Ali: Department of Basic Science, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.

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Abstract: Credibility measure theory was introduced by Liu and Liu [1]; Then X. Li, Z. Qin and D. Ralescu [2]. On using this theory are converted mean-variance model to credibility mean-variance. Mutual funds are the most important investment mechanism in financial market. In this paper, we use rate of return of 46 mutual funds of TSE. At first, we analyze data and then implement credibility mean-variance in MATLAB. We also survey Performance of case study sample with market Performance.

Date: 2015-07-02
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Published in Journal of Global Economics, Management and Business Research, 2015, 4 (2), pp.90-94

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05366515

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