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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| Format: | Article |
| Language: | en |
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Institute of Business Excellent and University Publication Center (UPENA)
2010
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| Online Access: | https://ir.uitm.edu.my/id/eprint/867/1/AJ_ZULKIFLI%20MOHAMED%20BMQR%20IBE%2010.pdf https://ir.uitm.edu.my/id/eprint/867/ http://www.bmqruitm.com/ |
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| _version_ | 1833057975800954880 |
|---|---|
| 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 |
| building | Tun Abdul Razak Library |
| collection | Institutional Repository |
| content_provider | Universiti Teknologi Mara |
| content_source | UiTM Institutional Repository |
| continent | Asia |
| country | Malaysia |
| 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 |
| id | my.uitm.ir-867 |
| institution | Universiti Teknologi Mara |
| language | en |
| publishDate | 2010 |
| publisher | Institute of Business Excellent and University Publication Center (UPENA) |
| record_format | eprints |
| spelling | my.uitm.ir-8672018-11-03T08:29:42Z https://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.] bmqr 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 https://ir.uitm.edu.my/id/eprint/867/1/AJ_ZULKIFLI%20MOHAMED%20BMQR%20IBE%2010.pdf Effectiveness of the extended mean-variance model using fuzzy approach for portfolio selection in Malaysian stock market / Zulkifli Mohamed ...[et al.]. (2010) Business and Management Quarterly Review (BMQR) <https://ir.uitm.edu.my/view/publication/Business_and_Management_Quarterly_Review_=28BMQR=29/>, 1 (1). pp. 43-53. ISSN 2180-2777 http://www.bmqruitm.com/ |
| 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.] |
| title | 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_short | 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.] |
| topic | Investment, capital formation, speculation |
| url | https://ir.uitm.edu.my/id/eprint/867/1/AJ_ZULKIFLI%20MOHAMED%20BMQR%20IBE%2010.pdf https://ir.uitm.edu.my/id/eprint/867/ http://www.bmqruitm.com/ |
| url_provider | http://ir.uitm.edu.my/ |