A novel sigma-Mu multiple criteria decision aiding approach for mutual funds portfolio selection

•A novel sigma-mu approach is proposed for mutual funds portfolio selection.•The estimated Mu's, sigma's and covariances enter as inputs to MIQP portfolio models.•A universe of european mutual funds, of various strategies and styles, is exploited.•Superior risk-adjusted returns, in-sample...

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Bibliographic Details

Published in:	European journal of operational research Vol. 322; no. 2; pp. 589 - 598
Main Authors:	Dias, Luís C., Xidonas, Panos, Samitas, Aristeidis
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 16.04.2025
Subjects:	Multiple criteria decision aiding (MCDA) Mutual funds Portfolio selection Sigma-Mu method Sigma-Mu method Portfolio selection Multiple criteria decision aiding (MCDA) Mutual funds
ISSN:	0377-2217
Online Access:	Get full text
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