Operational Research

, Volume 15, Issue 3, pp 359–378 | Cite as

Portfolio performance and risk-based assessment of the PORTRAIT tool

Original Paper

Abstract

In this paper we evaluate and extend the PORTRAIT tool. PORTRAIT applies an argumentation based methodology for composing fund portfolios. Argumentation allows for combining different contexts and preferences in a way that can be optimized. It allows for defining a set of different investment policy scenarios and supports the investor/portfolio manager in composing efficient portfolios that meet her/his profile. The performance and risk of the constructed portfolios is compared with portfolios based on a traditional performance index under different scenarios. This approach is applied on data of Greek domestic equity mutual funds over the period from January 2006 to December 2011 with positive results. The empirical results of our study showed that argumentation is well suited for this type of applications giving answers to two important questions, i.e. which mutual funds are the most suitable to invest in, and, what portion of the available capital should be invested in each of these funds.

Keywords

Decision making Argumentation Mutual funds Portfolio selection 

Mathematics Subject Classification

90B50 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  1. 1.Department of Business Administration in Food and Agricultural EnterprisesUniversity of PatrasAgrinioGreece
  2. 2.School of Production Engineering and ManagementTechnical University of CreteChaniaGreece

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