How to cite this paper
Alimi, A., Zandieh, M & Amiri, M. (2012). Multi-objective portfolio optimization of mutual funds under downside risk measure using fuzzy theory.International Journal of Industrial Engineering Computations , 3(5), 859-872.
Refrences
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Anagnostopoulos, K. P., & Mamanis, G. (2010). A portfolio optimization model with three objectives and discrete variables. Computers & Operations Research, 37, 1285-1297.
Basso, A., & Funari, S. (2001). A data envelopment analysis approach to measure the mutual fund performance. European Journal of Operational Research, 135, 477–492.
Chang, C. H., Lin, J. J., Lin, J. H., & Chiang, M. C. (2010). Domestic open-end equity mutual fund performance evaluation using extended TOPSIS method with different distance approaches. Expert Systems with Applications, 37, 4642-4649.
Chang, T. J., Yang, S. C., & Chang, K. J. (2009). Portfolio optimization problem in different risk measures using genetic algorithm. Expert Systems with Applications, 36, 10529-10537.
Chen, L. H., & Huang, L. (2009). Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Application, 36, 3720-3727.
Deb, G. S., & Banerjee, A. (2009). Downside risk analysis of Indian equity mutual funds: a value at risk approach. International Research Journal of Finance and Economics, 23, 216-230.
Decker, R., & Lenz, H. J. (2007). Advances in Data Mining. Springer, New York.
Jana, P., Roy, T. K., & Mazumder, S. K. (2009). Multi-objective possibilistic model for portfolio selection with transaction cost. Journal of Computational and Applied Mathematics, 228, 188-196.
Larose, D. T. (2005). Discovering Knowledge in Data. New Jersey: John Wiley & Sons.
Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7, 77–91.
Markowitz, H. M. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: Wiley
Mobius, M. (2007). Mutual Funds: An Introduction to the Core Concepts. Singapore: John Wiley & Sons (Asia) Pte Ltd.
Murthi, B. P. S., Choi, Y. K., & Desai, P. (1997). Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach. European Journal of Operational Research, 98, 408–418.
Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39, 119–138.
Terol, A. B., Gladish, B. P., Parra, M. A., & Uria, M. V. R. (2006). Fuzzy compromise programming for portfolio selection. Applied Mathematics and Computation, 173, 251-264.
Tola, V., Lillo, F., Gallegati, M., & Mantegna, R. N. (2008). Cluster analysis for portfolio optimization. Journal of Economic Dynamics and Control, 32, 235-258.
Treynor, J. (1965). How to rate management of investment funds. Harvard Business Review, 43, 63–75.
Vercher, E., Bermudez, J. D. & Segura, J. V. (2007). Fuzzy portfolio optimization under downside risk measures. Fuzzy Sets and Systems, 158, 769-782.
Zimmermann, H. J. (1978). Fuzzy programming and linear programming with several Objective Functions. Fuzzy Sets and Systems, 1, 45-55.
Zio, E., & Bazzo, R. (2010). Multi-objective optimization of the inspection intervals of a nuclear safety system: A clustering-based framework for reducing the Pareto Front. Annals of Nuclear Energy, 37, 798-812.
Anagnostopoulos, K. P., & Mamanis, G. (2010). A portfolio optimization model with three objectives and discrete variables. Computers & Operations Research, 37, 1285-1297.
Basso, A., & Funari, S. (2001). A data envelopment analysis approach to measure the mutual fund performance. European Journal of Operational Research, 135, 477–492.
Chang, C. H., Lin, J. J., Lin, J. H., & Chiang, M. C. (2010). Domestic open-end equity mutual fund performance evaluation using extended TOPSIS method with different distance approaches. Expert Systems with Applications, 37, 4642-4649.
Chang, T. J., Yang, S. C., & Chang, K. J. (2009). Portfolio optimization problem in different risk measures using genetic algorithm. Expert Systems with Applications, 36, 10529-10537.
Chen, L. H., & Huang, L. (2009). Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Application, 36, 3720-3727.
Deb, G. S., & Banerjee, A. (2009). Downside risk analysis of Indian equity mutual funds: a value at risk approach. International Research Journal of Finance and Economics, 23, 216-230.
Decker, R., & Lenz, H. J. (2007). Advances in Data Mining. Springer, New York.
Jana, P., Roy, T. K., & Mazumder, S. K. (2009). Multi-objective possibilistic model for portfolio selection with transaction cost. Journal of Computational and Applied Mathematics, 228, 188-196.
Larose, D. T. (2005). Discovering Knowledge in Data. New Jersey: John Wiley & Sons.
Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7, 77–91.
Markowitz, H. M. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: Wiley
Mobius, M. (2007). Mutual Funds: An Introduction to the Core Concepts. Singapore: John Wiley & Sons (Asia) Pte Ltd.
Murthi, B. P. S., Choi, Y. K., & Desai, P. (1997). Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach. European Journal of Operational Research, 98, 408–418.
Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39, 119–138.
Terol, A. B., Gladish, B. P., Parra, M. A., & Uria, M. V. R. (2006). Fuzzy compromise programming for portfolio selection. Applied Mathematics and Computation, 173, 251-264.
Tola, V., Lillo, F., Gallegati, M., & Mantegna, R. N. (2008). Cluster analysis for portfolio optimization. Journal of Economic Dynamics and Control, 32, 235-258.
Treynor, J. (1965). How to rate management of investment funds. Harvard Business Review, 43, 63–75.
Vercher, E., Bermudez, J. D. & Segura, J. V. (2007). Fuzzy portfolio optimization under downside risk measures. Fuzzy Sets and Systems, 158, 769-782.
Zimmermann, H. J. (1978). Fuzzy programming and linear programming with several Objective Functions. Fuzzy Sets and Systems, 1, 45-55.
Zio, E., & Bazzo, R. (2010). Multi-objective optimization of the inspection intervals of a nuclear safety system: A clustering-based framework for reducing the Pareto Front. Annals of Nuclear Energy, 37, 798-812.