PORTFOLIO OF MUTUAL FUNDS USING STOCHASTIC MODELS BASED ON CREDIBILITY THEORY AND THEIR’S PERFORMANCE EVALUATING

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Published: 2015-07-02

Page: 90-94


SARAJ MANSOUR

Department of Basic Science, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.

RAMEZI GHOLAMALI

Department of Basic Science, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.

SADEGHI ALI *

Department of Basic Science, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.

*Author to whom correspondence should be addressed.


Abstract

Credibility measure theory was introduced by Liu and Liu [1]; Then X. Li, Z. Qin and D. Ralescu [2]. On using this theory are converted mean-variance model to credibility mean-variance. Mutual funds are the most important investment mechanism in financial market. In this paper, we use rate of return of 46 mutual funds of TSE. At first, we analyze data and then implement credibility mean-variance in MATLAB. We also survey Performance of case study sample with market Performance.

Keywords: Return, variance, mutual fund, creditability theory, fuzzy logic, mean-variance model, portfolio selection, performance evaluating


How to Cite

MANSOUR, S., GHOLAMALI, R., & ALI, S. (2015). PORTFOLIO OF MUTUAL FUNDS USING STOCHASTIC MODELS BASED ON CREDIBILITY THEORY AND THEIR’S PERFORMANCE EVALUATING. Journal of Global Economics, Management and Business Research, 4(2), 90–94. Retrieved from https://ikprress.org/index.php/JGEMBR/article/view/1760

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