On selecting portfolio of international mutual funds using goal programming with extended factors

This paper proposes and investigates the use of several factors for portfolio selection of international mutual funds. Three of the selected factors are specific to mutual funds, additional three factors are taken from Macroeconomics and one factor represents regional and country preferences. Each factor is treated as an objective in the multiple objective approach of goal programming. Three variants of goal programming are utilized. 

Past performance of twenty mutual funds selected from ten countries in seven regions provide the data for various goal programming models used in the experiments. The resulting portfolios and their performances which seem to adequately reflect the investor's preferences are fully discussed. 

The main aim of this paper is to provide a vehicle for practitioners to incorporate their preferred factors, ideal target values and aspirations into their choice of GP model to obtain their desired portfolio of international mutual funds. Another aim is to exploit the favorable findings of this paper in investigating portfolios of other financial instruments such as stocks and bonds.