PORTFOLIO OF MUTUAL FUNDS USING STOCHASTIC MODELS BASED ON CREDIBILITY THEORY AND THEIR’S PERFORMANCE EVALUATING
Publish place: The 7th International Conference on Economics and Management
Publish Year: 1395
Type: Conference paper
Language: English
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ICOEM01_070
Index date: 15 December 2016
PORTFOLIO OF MUTUAL FUNDS USING STOCHASTIC MODELS BASED ON CREDIBILITY THEORY AND THEIR’S PERFORMANCE EVALUATING abstract
Credibility measure theory was introduced by Liu and Liu (2004) ; Then X. Li, Z. Qin and D.Ralescu[13] 0n using this theory are converted mean-variance model to credibility meanvariance.Mutual funds are the most important investment mechanism in financial market. Inthis paper, we use rate of return of 46 mutual funds of TSE. At first, we analyze data and thenimplement credibility mean-variance in MATLAB. We also survey Performance of case studysample with market Performance.
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PORTFOLIO OF MUTUAL FUNDS USING STOCHASTIC MODELS BASED ON CREDIBILITY THEORY AND THEIR’S PERFORMANCE EVALUATING authors
Mansour Saraj
Department of Basic Science, Islamic Azad University, Ahvaz, IRAN
Gholam Ali Ramezi
MA in finantial management. University of Chamran,Ahvaz, IRAN
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