Towards a Goal Programming Methodology for Constructing Equity Mutual Fund Portfolios

Abstract

The evaluation of the performance of mutual fund [MF] portfolios has been a very interesting research topic not only for researchers, but also for managers of financial, banking and investment institutions. In this paper, a multicriteria decision aid framework is proposed for the construction of MF portfolios. The proposed methodology is based on a Goal Programming approach to determine the proportion of each MF in the constructed portfolios. This methodology is applied on a sample of Indian MFs over the period 2007-2006 with encouraging results.