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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Vydané v:	European journal of operational research Ročník 322; číslo 2; s. 589 - 598
Hlavní autori:	Dias, Luís C., Xidonas, Panos, Samitas, Aristeidis
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 16.04.2025
Predmet:	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
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