How to cite this paper
Makrani, K & Zamanian, B. (2014). Ranking mutual funds using Sortino method.Management Science Letters , 4(4), 659-662.
Refrences
Annaert, J., Van Den Broeck, J., & Vander Vennet, R. (2001). Determinants of Mutual Fund Performance: A Bayesian Stochastic Frontier Approach. European Journal of Operational Research, 151, 3.
Arugaslan, O., Edwards, E., & Samant, A. (2008). Evaluating large US-based equity mutual funds using risk-adjusted performance measures. International Journal of Commerce and Management, 17(1/2), 6-24.
Basso, A., & Funari, S. (2001). A data envelopment analysis approach to measure the mutual fund performance. European Journal of Operational Research, 135(3), 477-492.
Chen, L. H., & Huang, L. (2009). Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Applications, 36(2), 3720-3727.
Hübner, G. (2007). How do performance measures perform?. The Journal of Portfolio Management, 33(4), 64-74.
Jensen, M. C. (1969). Risk, the pricing of capital assets, and the evaluation of investment portfolios. Journal of business, 42(2), 167.
Jones, C. (1998). Investment analysis and management. 6th ed., John Wiley & Sons.
Pendaraki, K., Zopounidis, C., & Doumpos, M. (2005). On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds. European Journal of Operational Research, 163(2), 462-481.
Ramanathan, R. (Ed.). (2003). An introduction to data envelopment analysis: a tool for performance measurement. Sage.
Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39(S1), 119–138.
Sharpe, W. F. (1994). The Sharpe ratio. The Journal of Portfolio Management, 21(1), 49–58.
Sortino, F. A., & Price, L. N. (1994). Performance measurement in a downside risk framework. the Journal of Investing, 3(3), 59-64.
Treynor, J. L. (1965). How to rate management of investment funds. Harvard business review, 43(1), 63-75.
Arugaslan, O., Edwards, E., & Samant, A. (2008). Evaluating large US-based equity mutual funds using risk-adjusted performance measures. International Journal of Commerce and Management, 17(1/2), 6-24.
Basso, A., & Funari, S. (2001). A data envelopment analysis approach to measure the mutual fund performance. European Journal of Operational Research, 135(3), 477-492.
Chen, L. H., & Huang, L. (2009). Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Applications, 36(2), 3720-3727.
Hübner, G. (2007). How do performance measures perform?. The Journal of Portfolio Management, 33(4), 64-74.
Jensen, M. C. (1969). Risk, the pricing of capital assets, and the evaluation of investment portfolios. Journal of business, 42(2), 167.
Jones, C. (1998). Investment analysis and management. 6th ed., John Wiley & Sons.
Pendaraki, K., Zopounidis, C., & Doumpos, M. (2005). On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds. European Journal of Operational Research, 163(2), 462-481.
Ramanathan, R. (Ed.). (2003). An introduction to data envelopment analysis: a tool for performance measurement. Sage.
Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39(S1), 119–138.
Sharpe, W. F. (1994). The Sharpe ratio. The Journal of Portfolio Management, 21(1), 49–58.
Sortino, F. A., & Price, L. N. (1994). Performance measurement in a downside risk framework. the Journal of Investing, 3(3), 59-64.
Treynor, J. L. (1965). How to rate management of investment funds. Harvard business review, 43(1), 63-75.