Selecting portfolios for mutual funds

Enrique Ballestero and David Pla-Santamaria

Omega, 2004, vol. 32, issue 5, 385-394

Abstract: In modern investment theory the path to portfolio selection involves two steps, which are efficient frontier and expected utility maximization, the latter being necessary to determine the best efficient choice for an individual investor with particular preferences for profitability and safety. However, mutual funds are not individual investors, and therefore, the analyst could make very little sense of expected utility maximization as he fails to see how a utility function can be assigned to the multiplicity of share holders and potential investors related to a fund. We address the problem of mutual fund portfolio selection by searching for a portfolio ranking based on compromise properties to find utility bounds from statistical information on investor's preferences.

Keywords: Compromise; programming; Investments; Multi-criteria; Mutual; funds (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0305-0483(04)00011-8
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:32:y:2004:i:5:p:385-394

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Omega is currently edited by B. Lev

More articles in Omega from Elsevier
Bibliographic data for series maintained by Catherine Liu ().