Multi-Objective Portfolio Optimization of Mutual Funds Under Downside Risk Measure Using Fuzzy Theory

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Provided by: Growing Science
Topic: Data Management
Format: PDF
Mutual fund is one of the most popular techniques for many people to invest their funds where a professional fund manager invests people's funds based on some special predefined objectives; therefore, performance evaluation of mutual funds is an important problem. This paper proposes a multi-objective portfolio optimization to offer asset allocation. The proposed model clusters mutual funds with two methods based on six characteristics including rate of return, variance, semivariance, turnover rate, treynor index and sharpe index. Semivariance is used as a downside risk measure.
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