Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study
Joint Authors
Sivalingam, Jaisree
Kiliçman, Adem
Source
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-03-22
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Information Technology and Computer Science
Abstract EN
We focus on the equity mutual funds offered by three Malaysian banks, namely Public Bank Berhad, CIMB, and Malayan Banking Berhad.
The equity mutual funds or equity trust is grouped into four clusters based on their characteristics and categorized as inferior, stable, good performing, and aggressive funds based on their return rates, variance and treynor index.
Based on the cluster analysis, the return rates and variance of clusters are represented as triangular fuzzy numbers in order to reflect the uncertainty of financial market.
To find the optimal asset allocation in each cluster we develop a hybrid model of optimization and fuzzy based on return rates, variance.
This was done by maximizing the fuzzy return for a tolerable fuzzy risk and minimizing the fuzzy risk for a desirable fuzzy return separately at different confidence levels.
American Psychological Association (APA)
Kiliçman, Adem& Sivalingam, Jaisree. 2010. Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study. Advances in Fuzzy Systems،Vol. 2010, no. 2010, pp.1-7.
https://search.emarefa.net/detail/BIM-505646
Modern Language Association (MLA)
Kiliçman, Adem& Sivalingam, Jaisree. Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study. Advances in Fuzzy Systems No. 2010 (2010), pp.1-7.
https://search.emarefa.net/detail/BIM-505646
American Medical Association (AMA)
Kiliçman, Adem& Sivalingam, Jaisree. Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study. Advances in Fuzzy Systems. 2010. Vol. 2010, no. 2010, pp.1-7.
https://search.emarefa.net/detail/BIM-505646
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-505646