Selecting Portfolios Based on Sharpe, Treynor and Goal Programming Methodologies: Applications to Mutual Funds in the UK and Egypt

Authors

  • Mehrdad Tamiz Kuwait University
  • Rania A. Azmi University of Portsmouth image/svg+xml
  • Dylan Jones University of Portsmouth

DOI:

https://doi.org/10.34120/ajas.v18i3.801

Keywords:

Goal Programming, Investment Analysis, Portfolio Selection, Mutual Funds

Abstract

This paper focuses on the portfolio selection problem facing an investor who is interested to hold a portfolio of mutual funds operating in the UK and Egypt. The article offers three techniques for setting up portfolios of mutual funds (Sharpe, Treynor and Goal Programming). The performance comparison of the selected portfolios reveals that the portfolios constructed based on Sharpe and Goal Programming methodologies have the minimum deviations with each other as well as compared to the relevant benchmarks. Although Sharpe and Treynor methodologies of ranking and selecting best mutual funds are well established, the paper finds Goal Programming methodology performing at least as well as both Sharpe and Treynor methodologies. The paper's results suggest also that the Goal Programming methodology is as practical in crises (the experiment in UK's market) as in regular time (the experiment in Egypt's market).

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Author Biographies

Mehrdad Tamiz, Kuwait University

has a Ph.D. from Brunel University (1986) in the UK. He is a Professor of Operational Research in the Department of Quantitative Methods and Information Systems, College of Business Administration, Kuwait University. His Research Interests include single and multi-objective analysis of real-life problems, portfolio selection and analysis, logistics, and supply chain management.  

Rania A. Azmi, University of Portsmouth

has a Ph.D. from University of Portsmouth. She is a member of the American Finance Association and the American Mathematical Society. In 2009, she was awarded the Google prize for the 'most interesting and creative work'. Her research interests include: portfolio selection, goal programming, multiple objectives optimization, and investment decision making.

Dylan Jones, University of Portsmouth

has Ph.D. from University of Portsmouth (1995) in the UK. He is a Principal Lecturer in the Mathematics Department, University of Portsmouth. His research interests include linear programming. multi-objective and goal programming. compromise programming, modeling techniques for real world applications, multi-criteria decision analysis, preference modeling, genetic algorithms and heuristic techniques.

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Published

2011

How to Cite

Tamiz, M., Azmi, R. A., & Jones, D. (2011). Selecting Portfolios Based on Sharpe, Treynor and Goal Programming Methodologies: Applications to Mutual Funds in the UK and Egypt. Arab Journal of Administrative Sciences, 18(3), 495–514. https://doi.org/10.34120/ajas.v18i3.801

Issue

Vol. 18 No. 3 (2011)

Section

Finance