A Multi-Criteria Decision-Making Approach to Performance Evaluation of Mutual Funds: a Case Study in Serbia
Yugoslav journal of operations research, Tome 28 (2018) no. 3.

Voir la notice de l'article dans eLibrary of Mathematical Institute of the Serbian Academy of Sciences and Arts

In this paper we evaluate the performance of nine mutual funds in the Republic of Serbia in the period 2011-2013 by integrating traditional approaches for measuring absolute efficiency and the selected multi-criteria decision-making methods for measuring relative efficiency. The aim of our research is to test selection abilities of Serbian portfolio managers. Performance evaluation of mutual funds, being by its nature a complex problem of multi-criteria decision-making, must be solved by the methods that have, at least, the same level of complexity. Research results indicate that mutual funds have inferior performance, which on the other hand, confirms that the national portfolio managers lack selection abilities.
Mots-clés : Sharpe Index, Treynor Index, Jensen’s alpha Index, Ivaluation, Ierformance, Efficiency, Mutual Funds, Multi-criteria Decision-Making, AHP, DEA, DEAHP 
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     author = {Milena Jak\v{s}i\'c and Predrag Mimovi\'c and Miljan Lekovi\'c},
     title = {A {Multi-Criteria} {Decision-Making} {Approach} to {Performance} {Evaluation} of {Mutual} {Funds:} a {Case} {Study} in {Serbia}},
     journal = {Yugoslav journal of operations research},
     pages = {385 - 414},
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Milena Jakšić; Predrag Mimović; Miljan Leković. A Multi-Criteria Decision-Making Approach to Performance Evaluation of Mutual Funds: a Case Study in Serbia. Yugoslav journal of operations research, Tome 28 (2018) no. 3. https://geodesic-test.mathdoc.fr/item/YJOR_2018_28_3_a6/