Mutual funds performance appraisal using stochastic multicriteria acceptability analysis

DOI10.1016/j.amc.2011.11.066zbMath1239.90056OpenAlexW2118990393MaRDI QIDQ426635

Vassilios Babalos, Constantin Zopounidis, Nikolaos Philippas, Michael Doumpos

Publication date: 11 June 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/37953/1/MPRA_paper_37953.pdf

zbMATH Keywords

simulationmulticriteria analysisperformance appraisalmutual funds

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Linear programming (90C05) Management decision making, including multiple objectives (90B50)

Related Items (3)

Profit criteria involving risk in price setting of virtual products ⋮ Rejoinder on: Multicriteria decision systems for financial problems ⋮ Modifying olympics medal table via a stochastic multicriteria acceptability analysis

Uses Software

• UTA Plus

Cites Work

• A survey on stochastic multicriteria acceptability analysis methods
• On the construction of mutual fund portfolios: a multicriteria methodology and an application to the Greek market of equity mutual funds
• Assessing a set of additive utility functions for multicriteria decision- making, the UTA method
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
• Review of ranking methods in the data envelopment analysis context
• Hedge fund performance appraisal using data envelopment analysis
• A robust nonparametric approach to evaluate and explain the performance of mutual funds
• Data envelopment analysis of mutual funds based on second-order stochastic dominance
• Using DEA as a tool for MCDM: some remarks
• SMAA-2: Stochastic Multicriteria Acceptability Analysis for Group Decision Making
• Measuring the performance of ethical mutual funds: a DEA approach
• An Intertemporal Capital Asset Pricing Model
• Common risk factors in the returns on stocks and bonds
• A data envelopment analysis approach to measure the mutual fund performance

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