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Volume :18 Issue : 3 2011      Add To Cart                                                                    Download

Selecting Portfolios Based on Sharpe, Treynor and Goal Programming Methodologies: Applications to Mutual Funds in the UK and Egypt

Auther : Mehrdad Tamiz
Rania A. Azmi
Dylan Jones

This paper focuses on the portfolio selection problem facing an investor who is interested to hold a portfolio of mutual funds operating in the UK and Egypt. The article offers three techniques for setting up portfolios of mutual funds (Sharpe, Treynor and Goal Programming). The performance comparison of the selected portfolios reveals that the portfolios constructed based on Sharpe and Goal Programming methodologies have the minimum deviations with each other as well as compared to the relevant benchmarks. Although Sharpe and Treynor methodologies of ranking and selecting best mutual funds are well established, the paper finds Goal Programming methodology performing at least as well as both Sharpe and Treynor methodologies. The paper's results suggest also that the Goal Programming methodology is as practical in crises (the experiment in UK's market) as in regular time (the experiment in Egypt's market).

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