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On selecting portfolio of international mutual funds using goal programming with extended factors

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  • Tamiz, Mehrdad
  • Azmi, Rania A.
  • Jones, Dylan F.

Abstract

This paper proposes and investigates the use of several factors for portfolio selection of international mutual funds. Three of the selected factors are specific to mutual funds, additional three factors are taken from Macroeconomics and one factor represents regional and country preferences. Each factor is treated as an objective in the multiple objective approach of goal programming. Three variants of goal programming are utilized.

Suggested Citation

  • Tamiz, Mehrdad & Azmi, Rania A. & Jones, Dylan F., 2013. "On selecting portfolio of international mutual funds using goal programming with extended factors," European Journal of Operational Research, Elsevier, vol. 226(3), pages 560-576.
    • Handle: RePEc:eee:ejores:v:226:y:2013:i:3:p:560-576
    DOI: 10.1016/j.ejor.2012.11.004
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    References listed on IDEAS

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    Cited by:

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    2. Jones, Dylan & Florentino, Helenice & Cantane, Daniela & Oliveira, Rogerio, 2016. "An extended goal programming methodology for analysis of a network encompassing multiple objectives and stakeholders," European Journal of Operational Research, Elsevier, vol. 255(3), pages 845-855.
    3. Mohammed Seghir Guellil & Mohamed Hadj Ahmed & Samir Ghouali & Most?fa Belmokaddem, 2023. "Measures to promote energy, economic and environmental sustainability for an optimal workforce portfolio between Algerian sectors at the 2030 horizon using fuzzy goal programming approach," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2023(2), pages 103-121.
    4. Farshad Noravesh & Kristiaan Kerstens, 2022. "Some connections between higher moments portfolio optimization methods," Papers 2201.00205, arXiv.org.
    5. Constantin Zopounidis & Michael Doumpos, 2013. "Rejoinder on: Multicriteria decision systems for financial problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(2), pages 282-286, July.
    6. Haniyeh Amiri & Ana Maria Gil-Lafuente, 2016. "Studying of the Factors Affecting on the Mutual Fund by Individual Investor in Iran, Malaysia, Turkey and US," Modern Applied Science, Canadian Center of Science and Education, vol. 10(9), pages 218-218, September.

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