Konstantina Pendaraki

On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds

Abstract The evaluation of the performance of mutual funds (MFs) has been a very interesting research topic not only for researchers, but also for managers of financial, banking and investment institutions. In this paper, an integrated methodological framework for the evaluation of MF performance is proposed. The proposed methodology is based on the combination of discrete and continuous multicriteria decision aid (MCDA) methods for MFs selection and composition. In the first stage of the analysis the UTADIS MCDA method is employed in order to develop mutual funds performance models supporting the selection of a small set of MFs, which will compose the final portfolios. In the second stage, a goal programming model is employed to determine the proportion of the selected MFs in the final portfolios. The methodology is applied on data of Greek MFs over the period 1999–2001 with encouraging results.

Portfolio construction using argumentation and hybrid evolutionary forecasting algorithms

In the current contribution, an application for constructing mutual fund portfolios is presented. This approach comprises several Intelligent Methods, namely an argumentation based decision making framework and a hybrid evolutionary forecasting algorithm which combines Genetic Algorithms (GA), MultiModel Partitioning (MMP) theory and Extended Kalman Filters (EKF). Specifically, the argumentation framework is employed in order to develop mutual funds performance models and select a small set of mutual funds, which will compose the final portfolio. On the other hand, the hybrid evolutionary forecasting algorithm is applied in order to forecast the market status (inflating or deflating) for the next investment period. The knowledge engineering approach and application development steps are also presented and discussed.

EVALUATION OF EQUITY MUTUAL FUNDS’ PERFORMANCE USING A MULTICRITERIA METHODOLOGY

The evaluation of the performance of mutual funds has been a very interesting research topic for not only researchers, but also for managers of financial, banking and investment institutions. In this study a well-known MCDA method based on the theory of outranking relations, the PROMETHEE II method (Preference Ranking Organisation Method for Enrichment Evaluations; [Brans and Vincke (1985)]) is used to develop outranking models for mutual funds’ performance. This method is applied on real-world data of mutual funds derived from the Association of Greek Institutional Investors. The results of the PROMETHEE II method are indicative of ranking the funds from the best to the worst ones according to their performance.

A Tool for Portfolio Generation Using an Argumentation Based Decision Making Framework

Multiagent systems (MAS) are well suited to specify requirements far open physical complex systems. However, up to now, no method allows to actually build software/hardware hybrid MAS. This paper presents an original method far designing embedded MAS.In this paper, a tool that uses an argumentation based decision making framework is proposed for the construction of mutual fund portfolios. The argumentation framework is employed in order to develop mutual funds performance models and to select a small set of mutual funds, which will compose the final portfolio. The knowledge engineering approach and tool development know-how, presented here-in, can be used for the development of other real-world applications using argumentation.