Constructing Portfolios Using Argumentation Based Decision Making and Performance Persistence of Mutual Funds
Auteurs : Pendaraki K., Spanoudakis N.
Publication : in the 2nd International Symposium & 24th National Conference on Operational Research (EEEE 2013), Athens, Greece, September 26-28, 2013, pp. 24-29
This paper proposes an argumentation based tool for the selection of mutual funds and then the composition of efficient portfolios based on the performance persistence of the mutual funds. Argumentation allows for combining different contexts and preferences in a way that can be optimized. It allows for defining a set of different investment policy scenarios and supports the investor/portfolio manager in composing efficient portfolios that meet his profile. Moreover, the proposed methodological approach and the obtained portfolios are validated through their comparison to the return of the Market Index and with portfolios obtained using a traditional performance index. This approach is applied on data of Greek domestic equity mutual funds over the period 2000-2011 with encouraging results.