An ensemble approach for portfolio selection in a multi-criteria decision making framework
Investment in Mutual Funds (MF) has generated increasing interest among the investors over last few decades as it provides an opportunity for flexible and transparent choice of funds to diversify risk while having return potential. MF are essentially a portfolio wherein investors’ funds are invested...
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Regional Association for Security and crisis management
2019-10-01
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doaj-eb48d4202c2f4782a9134e18f99adfa42021-02-11T19:56:50ZengRegional Association for Security and crisis managementDecision Making: Applications in Management and Engineering2560-60182620-01042019-10-012213815810.31181/dmame2003079b51An ensemble approach for portfolio selection in a multi-criteria decision making frameworkSanjib Biswas0Gautam Bandyopadhyay1Banhi Guha2Malay Bhattacharjee3Calcutta Business School, Diamond Harbour Road, Bishnupur, West Bengal, IndiaDepartment of Management Studies, National Institute of Technology, Durgapur, West Bengal, IndiaAmity University, Kolkata, West Bengal, IndiaDepartment of Management Studies, National Institute of Technology, Durgapur, West Bengal, IndiaInvestment in Mutual Funds (MF) has generated increasing interest among the investors over last few decades as it provides an opportunity for flexible and transparent choice of funds to diversify risk while having return potential. MF are essentially a portfolio wherein investors’ funds are invested in the securities traded in the capital market while sharing a common objective. However, selection and management of different asset classes pertaining to a particular MF are done by an active fund manager under regulatory supervision. Hence, for an individual investor, it is important to assess the performances of the MF before investment. Performances of MF depend on several criteria based on risk-return measures. Hence, selection of MF is subject to satisfying multiple criteria. In this paper, we have adopted an ensemble approach based on a two-stage framework. Our sample consists of the open ended equity large cap funds (direct plan) in India. In the first stage,the efficiencies of the funds are analyzed using DEA for primary selection of the funds. In order to rank the funds based on risk and return parameters for investment portfolio formulation, we have used MABAC approach in the second stage wherein criteria weights have been calculated using the Entropy method.https://dmame.rabek.org/index.php/dmame/article/view/51mutual fund, portfolio selection, multi-criteria decision making, data envelopment analysis (dea), entropy, multi-attribute border approximation area comparisons (mabac). |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Sanjib Biswas Gautam Bandyopadhyay Banhi Guha Malay Bhattacharjee |
spellingShingle |
Sanjib Biswas Gautam Bandyopadhyay Banhi Guha Malay Bhattacharjee An ensemble approach for portfolio selection in a multi-criteria decision making framework Decision Making: Applications in Management and Engineering mutual fund, portfolio selection, multi-criteria decision making, data envelopment analysis (dea), entropy, multi-attribute border approximation area comparisons (mabac). |
author_facet |
Sanjib Biswas Gautam Bandyopadhyay Banhi Guha Malay Bhattacharjee |
author_sort |
Sanjib Biswas |
title |
An ensemble approach for portfolio selection in a multi-criteria decision making framework |
title_short |
An ensemble approach for portfolio selection in a multi-criteria decision making framework |
title_full |
An ensemble approach for portfolio selection in a multi-criteria decision making framework |
title_fullStr |
An ensemble approach for portfolio selection in a multi-criteria decision making framework |
title_full_unstemmed |
An ensemble approach for portfolio selection in a multi-criteria decision making framework |
title_sort |
ensemble approach for portfolio selection in a multi-criteria decision making framework |
publisher |
Regional Association for Security and crisis management |
series |
Decision Making: Applications in Management and Engineering |
issn |
2560-6018 2620-0104 |
publishDate |
2019-10-01 |
description |
Investment in Mutual Funds (MF) has generated increasing interest among the investors over last few decades as it provides an opportunity for flexible and transparent choice of funds to diversify risk while having return potential. MF are essentially a portfolio wherein investors’ funds are invested in the securities traded in the capital market while sharing a common objective. However, selection and management of different asset classes pertaining to a particular MF are done by an active fund manager under regulatory supervision. Hence, for an individual investor, it is important to assess the performances of the MF before investment. Performances of MF depend on several criteria based on risk-return measures. Hence, selection of MF is subject to satisfying multiple criteria. In this paper, we have adopted an ensemble approach based on a two-stage framework. Our sample consists of the open ended equity large cap funds (direct plan) in India. In the first stage,the efficiencies of the funds are analyzed using DEA for primary selection of the funds. In order to rank the funds based on risk and return parameters for investment portfolio formulation, we have used MABAC approach in the second stage wherein criteria weights have been calculated using the Entropy method. |
topic |
mutual fund, portfolio selection, multi-criteria decision making, data envelopment analysis (dea), entropy, multi-attribute border approximation area comparisons (mabac). |
url |
https://dmame.rabek.org/index.php/dmame/article/view/51 |
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