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 Stockbrokers. Security dealers. Investment advisers. Online stockbrokers
Online Access:	http://ir.uitm.edu.my/id/eprint/5498/ http://ir.uitm.edu.my/id/eprint/5498/1/TP_ZULKIFLI%20MOHAMED%20BM%2011_5%201.pdf

id	uitm-5498
recordtype	eprints
spelling	uitm-54982016-11-26T07:48:07Z http://ir.uitm.edu.my/id/eprint/5498/ Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed 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 NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/5498/1/TP_ZULKIFLI%20MOHAMED%20BM%2011_5%201.pdf Mohamed, Zulkifli (2011) Effectiveness of fuzzy approach in maximizing portfolio diversification benefit / Zulkifli Mohamed. PhD thesis, Universiti Teknologi MARA.
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Investment companies. Investment trusts. Mutual funds Stockbrokers. Security dealers. Investment advisers. Online stockbrokers
spellingShingle	Investment companies. Investment trusts. Mutual funds Stockbrokers. Security dealers. Investment advisers. Online stockbrokers 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
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
publishDate	2011
url	http://ir.uitm.edu.my/id/eprint/5498/ http://ir.uitm.edu.my/id/eprint/5498/1/TP_ZULKIFLI%20MOHAMED%20BM%2011_5%201.pdf
first_indexed	2023-09-18T22:47:08Z
last_indexed	2023-09-18T22:47:08Z
_version_	1777417300457029632

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

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