Towards a goal programming methodology for constructing equity mutual fund portfolios

Konstantina Pendaraki, Michael Doumpos and Constantin Zopounidis ()
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Michael Doumpos: lecturer in operations research at the Technical University of Crete
Constantin Zopounidis: Technical University of Crete, Financial Engineering Laboratory, University Campus

Journal of Asset Management, 2004, vol. 4, issue 6, No 5, 415-428

Abstract: Abstract The evaluation of the performance of mutual fund (MF) portfolios has been a very interesting research topic not only for researchers, but also for managers of financial, banking and investment institutions. In this paper, a multicriteria decision aid framework is proposed for the construction of MF portfolios. The proposed methodology is based on a goal programming approach to determine the proportion of each MF in the constructed portfolios. This methodology is applied on a sample of Greek MFs over the period 1999–2001 with encouraging results.

Keywords: mutual funds; goal programming; portfolio management; portfolio composition (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:4:y:2004:i:6:d:10.1057_palgrave.jam.2240120

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DOI: 10.1057/palgrave.jam.2240120

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