an assessment of selected mutual funds in iran stock market using a combined method of topsis, vikor and similarity-based approach

نویسندگان

محمدرضا صادقی مقدم

استادیار ، مدیریت صنعتی، دانشکدة مدیریت، دانشگاه تهران، تهران، ایران رضا علی بخشی

کارشناس ارشد mba، دانشکده مدیریت، دانشگاه تهران، تهران، ایران الهام خلیلی

دکتری مدیریت مالی، دانشکدة مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران

چکیده

this paper seeks two goals concurrently, at one hand tries to assay the capability of topsis, vikor and similarity-based approach as multiple attribute decision making approaches in evaluating mutual funds in iran stock exchange, and at the other hand in this evaluation tries to consider and compare three groups of indices including general evaluating indices (age, net value of mutual fund’s assets, cash assets percentage and net asset value), risk-adjusted evaluation indices(sharpe, treynor and jensen) and risk-adjusted evaluation indices using semivariance (modified sharpe, modified treynor and modified jensen with downside beta) in a distinctly manner and together in order to assay the capability of mentioned methods with these different indices. at the end the result of this comparison is represented and the decisions of amateur and professional investors has been evaluated.

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