Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study
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...
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| Format: | Article |
| Language: | English |
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Wiley
2010-01-01
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| Series: | Advances in Fuzzy Systems |
| Online Access: | http://dx.doi.org/10.1155/2010/879453 |
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| author | Adem Kılıçman Jaisree Sivalingam |
| author_facet | Adem Kılıçman Jaisree Sivalingam |
| author_sort | Adem Kılıçman |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-be87b9702a9b4668bb0202adc9bb8a59 |
| institution | Kabale University |
| issn | 1687-7101 1687-711X |
| language | English |
| publishDate | 2010-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Advances in Fuzzy Systems |
| spelling | doaj-art-be87b9702a9b4668bb0202adc9bb8a592025-02-03T05:53:46ZengWileyAdvances in Fuzzy Systems1687-71011687-711X2010-01-01201010.1155/2010/879453879453Portfolio Optimization of Equity Mutual Funds—Malaysian Case StudyAdem Kılıçman0Jaisree Sivalingam1Department of Mathematics and Institute for Mathematical Research, University Putra Malaysia, 43400 UPM, Serdang, Selangor, MalaysiaDepartment of Mathematics, University Malaysia Terengganu, 21030 UMT, Kuala Terengganu, Terengganu, MalaysiaWe 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.http://dx.doi.org/10.1155/2010/879453 |
| spellingShingle | Adem Kılıçman Jaisree Sivalingam Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study Advances in Fuzzy Systems |
| title | Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study |
| title_full | Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study |
| title_fullStr | Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study |
| title_full_unstemmed | Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study |
| title_short | Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study |
| title_sort | portfolio optimization of equity mutual funds malaysian case study |
| url | http://dx.doi.org/10.1155/2010/879453 |
| work_keys_str_mv | AT ademkılıcman portfoliooptimizationofequitymutualfundsmalaysiancasestudy AT jaisreesivalingam portfoliooptimizationofequitymutualfundsmalaysiancasestudy |