Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed

Uncertainty in stock market investing is remaining unsolved. Investment in portfolio is one of the solutions to minimize the uncertainty effect. Hence, unit trusts become one of the best investment alternatives for the public investors. However, many researchers discovered that unit trusts' per...

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Main Author:	Mohamed, Zulkifli
Format:	Thesis
Language:	English
Published:	2011
Subjects:	Investment companies Investment trusts Mutual funds
Online Access:	https://ir.uitm.edu.my/id/eprint/5498/1/TP_ZULKIFLI%20MOHAMED%20BM%2011_5%201.pdf
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id	my-uitm-ir.5498
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spelling	my-uitm-ir.54982022-12-21T03:39:55Z Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed 2011 Mohamed, Zulkifli Investment companies. Investment trusts. Mutual funds Stockbrokers. Security dealers. Investment advisers. Online stockbrokers Uncertainty in stock market investing is remaining unsolved. Investment in portfolio is one of the solutions to minimize the uncertainty effect. Hence, unit trusts become one of the best investment alternatives for the public investors. However, many researchers discovered that unit trusts' performances are not as good as expected. Therefore, fund managers need a new vigorous portfolio selection model in order to maximize the portfolio's diversification benefit. In solving uncertainty issues, fuzzy approaches are widely applied in engineering, computing and management sciences, but in finance, it is still at an infancy stage. Therefore, the study has investigated the effectiveness of the fuzzy approach in solving the uncertainty issues in stock market investing. Using data sample from Bursa Malaysia for the period of January 1998 to June 2009, the study has examined the VBS fuzzy model and the MV model in constructing various types of portfolios in different market trends. Linear programming optimization tool was used to construct the portfolios' efficient frontier. The study discovered that in the whole period, rising and sideway market trends, 70% of the MV portfolios are having higher diversification benefit compared to the VBS fuzzy portfolios. In the falling market trend, the result shows that 90% of the VBS fuzzy portfolios are performing better. Upon the finding, the study has extended the asset return variable in the MV model using fuzzy approach. The effectiveness of the extended MV model then has been tested for portfolio the diversification benefit and the ability to generate cumulative abnormal return. 2011 Thesis https://ir.uitm.edu.my/id/eprint/5498/ https://ir.uitm.edu.my/id/eprint/5498/1/TP_ZULKIFLI%20MOHAMED%20BM%2011_5%201.pdf text en public phd doctoral Universiti Teknologi MARA Faculty of Business Management
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
topic	Investment companies Investment trusts Mutual funds Investment companies Investment trusts Mutual funds
spellingShingle	Investment companies Investment trusts Mutual funds Investment companies Investment trusts Mutual funds Mohamed, Zulkifli Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed
description	Uncertainty in stock market investing is remaining unsolved. Investment in portfolio is one of the solutions to minimize the uncertainty effect. Hence, unit trusts become one of the best investment alternatives for the public investors. However, many researchers discovered that unit trusts' performances are not as good as expected. Therefore, fund managers need a new vigorous portfolio selection model in order to maximize the portfolio's diversification benefit. In solving uncertainty issues, fuzzy approaches are widely applied in engineering, computing and management sciences, but in finance, it is still at an infancy stage. Therefore, the study has investigated the effectiveness of the fuzzy approach in solving the uncertainty issues in stock market investing. Using data sample from Bursa Malaysia for the period of January 1998 to June 2009, the study has examined the VBS fuzzy model and the MV model in constructing various types of portfolios in different market trends. Linear programming optimization tool was used to construct the portfolios' efficient frontier. The study discovered that in the whole period, rising and sideway market trends, 70% of the MV portfolios are having higher diversification benefit compared to the VBS fuzzy portfolios. In the falling market trend, the result shows that 90% of the VBS fuzzy portfolios are performing better. Upon the finding, the study has extended the asset return variable in the MV model using fuzzy approach. The effectiveness of the extended MV model then has been tested for portfolio the diversification benefit and the ability to generate cumulative abnormal return.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Mohamed, Zulkifli
author_facet	Mohamed, Zulkifli
author_sort	Mohamed, Zulkifli
title	Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed
title_short	Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed
title_full	Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed
title_fullStr	Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed
title_full_unstemmed	Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed
title_sort	effectiveness of fuzzy approach in maximizing portfolio diversification benefit / zulkifli mohamed
granting_institution	Universiti Teknologi MARA
granting_department	Faculty of Business Management
publishDate	2011
url	https://ir.uitm.edu.my/id/eprint/5498/1/TP_ZULKIFLI%20MOHAMED%20BM%2011_5%201.pdf
_version_	1783733128495366144

Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed

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