Fuzzy Multi-Criteria Decision Making to Select Mutual Funds Investment Style

The investment of mutual funds which investors are often required evaluating the investment strategies according to their own subjective preferences in terms of numerical values from various criteria. This situation can be regarded as a fuzzy multiple criteria decision-making (MCDM) problem. The purpose of this study attempts to propose an alternative approach, fuzzy multiple criteria decision making with fuzzy integral, relaxing the independence among considered criteria for evaluation of MCDM problems, which is oftentimes the basic assumption in applying AHP, for evaluating the strategies of selecting the mutual funds investment style in Taiwan. We also employ triangular fuzzy numbers to represent the decision makers' subjective preferences on the considered criteria, as well as for the criteria measurements to evaluate mutual funds investment style for investors. First, in this study we employ factor analysis to extract four independent common factors from those criteria. Second, we construct the evaluation frame using AHP composed of the above four common factors with sixteen evaluated criteria, and then derive the relative weights with respect to considered criteria. Third, the synthetic utility value corresponding to each mutual fund investment style is aggregated by the fuzzy weights with fuzzy performance values. Finally, we compare with empirical data and find that the model of FMCDM predict the rate of return very exactly in certain rangeλ , hence the non-additive fuzzy integral technique is an effective method to predict the mutual funds performance, meanwhile it can help investors to make decision in different conditions (λ ).