Since 2014
Portfolio Optimization of Equity Mutual Funds in Tehran Stock Exchange (TSE) With Fuzzy Set
Management and Administrative Sciences Review
View Archive Info| Field | Value | |
| Title |
Portfolio Optimization of Equity Mutual Funds in Tehran Stock Exchange (TSE) With Fuzzy Set
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| Creator |
Taghizadegan, Gholamreza
Darvish, Zahra Alipour Bakhshayesh, Abdollah Yavaran |
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| Subject |
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Mutual fund; Fuzzy; Portfolio; Assets allocation |
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| Description |
Portfolio selection is one of the important issues investigated by researchers. The present study selected an initial model to select the optimal portfolio of mutual fund based on risk and future return of funds by prediction of fuzzy triangular numbers. The present study at first by clustering analysis classified the funds in TSE based on their data during 2010-2011 into some groups in accordance with Treynor index. To help the investors for investment decision making, fuzzy optimal model was proposed to calculate the optimal value of investment of each cluster. Portfolio optimization is defined by two following cases: Maximizing expected future return at definite risk and minimizing expected future risk at definite return level.
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| Publisher |
Academy of Business & Scientific Research
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| Contributor |
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| Date |
2014-06-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://absronline.org/journals/index.php/masr/article/view/208
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| Source |
Management and Administrative Sciences Review; Vol 3, No 4 (2014): Special Issue (June); 484-494
2308-1368 2310-872X |
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| Language |
eng
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| Relation |
http://absronline.org/journals/index.php/masr/article/view/208/229
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| Rights |
Copyright (c) 2014 Management and Administrative Sciences Review
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