Effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in Malaysian stock market / Zulkifli Mohamed ...[et al.]

Mohamed, Zulkifli and Ahyak, Ruzidah and Zainal Abidin, Sazali and Mohd Daud, Norzaidi (2010) Effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in Malaysian stock market / Zulkifli Mohamed ...[et al.]. Business Management Quarterly Review, 1 (1). pp. 43-53.

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Abstract

Purpose of the study is to investigate the effectiveness of the extended mean-variance model using fuzzy approach in maximizing portfolio diversification benefit in the Malaysian stock market. 10 types of portfolios involving 300 listed companies in Bursa Malaysia from 1998 to 2009 were used as a sample for the extended model testing. Linear programming optimization tool was used to derive efficient portfolios. Portfolio superiority then been measured by using the efficient frontier index (EFI). Empirical evidence revealed that the extended meanvariance model is able to maximize portfolio’s diversification benefit in the Malaysian stock market compared to the conventional mean-variance and the VBS fuzzy models. The result provides on how the Malaysian investors could improve on their investment strategy. This study is perhaps one of the first to address portfolio diversification benefit using the extended mean-variance model in the Malaysian stock market.

Item Type: Article
Creators:
CreatorsEmail
Mohamed, ZulkifliUNSPECIFIED
Ahyak, RuzidahUNSPECIFIED
Zainal Abidin, SazaliUNSPECIFIED
Mohd Daud, NorzaidiUNSPECIFIED
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation
Journal or Publication Title: Business Management Quarterly Review
Volume: 1
Number: 1
Page Range: pp. 43-53
Item ID: 867
Uncontrolled Keywords: portfolio, mean-variance, efficient frontier, fuzzy, Malaysia.
Last Modified: 03 Nov 2018 08:29
Depositing User: Staf Pendigitalan 1
URI: http://ir.uitm.edu.my/id/eprint/867

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