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Comparaison performance-taille des fonds mutuels par une analyse multicritère

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  • Martel, Jean-Marc

    (Faculté des sciences de l’administration, Université Laval)

  • Khoury, Nabil T.

    (Faculté des sciences de l’administration, Université Laval)

  • M’Zali, Bouchra

    (Faculté des sciences de l’administration, Université Laval)

Abstract

The purpose of this paper is to verify if some risk-return characteristics of mutual funds are clearly related to their size. Assuming a multidimensional setting where various funds characteristics can be explicitly and simultaneously considered. The paper applies PROMETHEE methodology, based on outranking relations, to make this verification. L’objet de cette étude est de vérifier si certaines caractéristiques de « risque et de rendement » des fonds mutuels sont clairement reliées à la taille de ces fonds. On se place donc dans un contexte multidimensionnel, où l’on cherche à prendre simultanément en compte les diverses caractéristiques d’un tel placement. Cette vérification est effectuée à l’aide d’une analyse multicritère s’inspirant de la méthode PROMETHEE, laquelle se fonde sur des relations de surclassement.

Suggested Citation

  • Martel, Jean-Marc & Khoury, Nabil T. & M’Zali, Bouchra, 1991. "Comparaison performance-taille des fonds mutuels par une analyse multicritère," L'Actualité Economique, Société Canadienne de Science Economique, vol. 67(3), pages 306-324, septembre.
    • Handle: RePEc:ris:actuec:v:67:y:1991:i:3:p:306-324
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    Cited by:

    1. Zopounidis, C., 1999. "Multicriteria decision aid in financial management," European Journal of Operational Research, Elsevier, vol. 119(2), pages 404-415, December.

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