We consider the problem of selecting investment components according to two partially opposed measures: the portfolio performance and its risk. We approach this within Markowitz’s model, considering the case of mutual funds market in Europe until July 2010. Comparisons were made on three multi-objective evolutionary algorithms, namely NSGAII, SPEA2 and IBEA. Two well-known performance measures ...

Historically, the literature on money management has not consistently applied the rational expectations equilibrium concept. We explain why and summarize recent developments in the money management literature that do apply this concept correctly. We demonstrate that in many respects the rational expectations equilibrium better approximates the observed equilibrium in the money management space ...

The development of the Islamic finance industry in Indonesia has experienced a rapid increase, one which is investment activities that occur capital market. mutual funds are an alternative for public investing. Mixed Sharia Mutual Funds form product from sharia have less risk than other types funds. measuring instrument fund Net Asset Value (NAV). Things can affect,the NAV mutual,fund BI rate, ...

To determine whether the investment decisions of institutional plan sponsors contribute to their asset values, this study used a dataset of 80,000 yearly observations of institutional investment product assets, accounts, and returns for 19842007. Results show that plan sponsors may not be acting in their stakeholders’ best interests when they make rebalancing or reallocation decisions. Investm...

Design of investment portfolios is the most important activity in the management of mutual funds, retirement and pension funds, bank and insurance portfolio management. Such problems involve, first, choosing individual firms, industries, or industry groups that are expected to display strong performance in a competitive market, thus, leading to successful investments in the future; second, it a...

Title of dissertation: ESSAYS ON MUTUAL FUNDS Nitin Kumar, Doctor of Philosophy, 2013 Dissertation directed by: Professor Russ Wermers Department of Finance Robert H. Smith School of Business This dissertation comprises of three essays on mutual funds. In the first essay, I test whether fund investors rationally incorporate portfolio manager ownership disclosure in their portfolio allocation de...

The most natural way of ordering portfolios is by comparing their payoffs. If a port­ folio has a payoff higher than the payoff of another portfolio, then it is greater than the other portfolio. This order is called the portfolio dominance order. An important property that a portfolio dominance order may have is the lattice property. It requires that the supremum and the infimum of any two port...