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

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...

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Main Authors:	Mohamed, Zulkifli, Ahyak, Ruzidah, Zainal Abidin, Sazali, Mohd Daud, Norzaidi
Format:	Article
Language:	English
Published:	Institute of Business Excellent and University Publication Center (UPENA) 2010
Subjects:	Investment, capital formation, speculation
Online Access:	http://ir.uitm.edu.my/id/eprint/867/ http://ir.uitm.edu.my/id/eprint/867/1/AJ_ZULKIFLI%20MOHAMED%20BMQR%20IBE%2010.pdf

id	uitm-867
recordtype	eprints
spelling	uitm-8672018-11-03T08:29:42Z http://ir.uitm.edu.my/id/eprint/867/ Effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in Malaysian stock market / Zulkifli Mohamed ...[et al.] Mohamed, Zulkifli Ahyak, Ruzidah Zainal Abidin, Sazali Mohd Daud, Norzaidi Investment, capital formation, speculation 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. Institute of Business Excellent and University Publication Center (UPENA) 2010 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/867/1/AJ_ZULKIFLI%20MOHAMED%20BMQR%20IBE%2010.pdf 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 and Management Quarterly Review (BMQR), 1 (1). pp. 43-53.
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Investment, capital formation, speculation
spellingShingle	Investment, capital formation, speculation Mohamed, Zulkifli Ahyak, Ruzidah Zainal Abidin, Sazali Mohd Daud, Norzaidi Effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in Malaysian stock market / Zulkifli Mohamed ...[et al.]
description	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.
format	Article
author	Mohamed, Zulkifli Ahyak, Ruzidah Zainal Abidin, Sazali Mohd Daud, Norzaidi
author_facet	Mohamed, Zulkifli Ahyak, Ruzidah Zainal Abidin, Sazali Mohd Daud, Norzaidi
author_sort	Mohamed, Zulkifli
title	Effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in Malaysian stock market / Zulkifli Mohamed ...[et al.]
title_short	Effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in Malaysian stock market / Zulkifli Mohamed ...[et al.]
title_full	Effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in Malaysian stock market / Zulkifli Mohamed ...[et al.]
title_fullStr	Effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in Malaysian stock market / Zulkifli Mohamed ...[et al.]
title_full_unstemmed	Effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in Malaysian stock market / Zulkifli Mohamed ...[et al.]
title_sort	effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in malaysian stock market / zulkifli mohamed ...[et al.]
publisher	Institute of Business Excellent and University Publication Center (UPENA)
publishDate	2010
url	http://ir.uitm.edu.my/id/eprint/867/ http://ir.uitm.edu.my/id/eprint/867/1/AJ_ZULKIFLI%20MOHAMED%20BMQR%20IBE%2010.pdf
first_indexed	2023-09-18T22:45:08Z
last_indexed	2023-09-18T22:45:08Z
_version_	1777417174230499328

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

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