Shabani Mostafa, Khodarahmi Ali, Ghousi Rouzbeh, Mohammadi Emran, Ghanbari Hossein
Department of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran.
Department of Management, University of Tehran, Tehran, Iran.
PLoS One. 2025 Jul 23;20(7):e0314918. doi: 10.1371/journal.pone.0314918. eCollection 2025.
In the complex landscape of investment management, Fund of Funds play a crucial role in constructing diversified portfolios with professional oversight. However, evaluating the performance of Fund of Funds is a challenging task due to their intricate management layers and diverse underlying assets. Traditional performance assessment methodologies often fall short in capturing these complexities, leading to potential inefficiencies in decision-making. This study addresses these challenges by applying a Multi-Attribute Decision Making approach, specifically an augmented Weighted Aggregated Sum Product Assessment methodology, to provide a comprehensive appraisal of Fund of Fund performance. This study introduces an innovative modification to the Weighted Aggregated Sum Product Assessment methodology, addressing its inherent limitations and providing a more advanced evaluative framework. Despite its ability to offer a structured basis for decision-making, this approach has certain constraints, particularly in identifying the most influential performance criteria impacting outcomes. To resolve this issue, the proposed modification incorporates entropy measures and effective weighting techniques, thereby enhancing the robustness and precision of performance evaluation. This approach provides a sophisticated evaluative framework, facilitating investors in making informed decisions and optimizing investment strategies. This methodology was tested on a set of Iranian Fund of Funds, with computational results demonstrating the strong performance and robustness of the proposed approach. Among the alternatives evaluated, TMSK emerged as the best-performing fund, highlighting the effectiveness of the modified Weighted Aggregated Sum Product Assessment method in facilitating informed investment decisions and optimizing portfolio strategies.
在投资管理的复杂格局中，基金中的基金在专业监督下构建多元化投资组合方面发挥着关键作用。然而，由于其复杂的管理层级和多样的基础资产，评估基金中的基金的业绩是一项具有挑战性的任务。传统的业绩评估方法往往无法捕捉到这些复杂性，导致决策中可能出现效率低下的情况。本研究通过应用多属性决策方法，特别是一种增强的加权聚合和乘积评估方法，来应对这些挑战，以全面评估基金中的基金的业绩。本研究对加权聚合和乘积评估方法进行了创新性修改，解决了其固有的局限性，并提供了一个更先进的评估框架。尽管该方法能够为决策提供结构化基础，但它也有一定的局限性，特别是在确定影响结果的最具影响力的业绩标准方面。为了解决这个问题，提出的修改方法纳入了熵测度和有效加权技术，从而提高了业绩评估的稳健性和精确性。这种方法提供了一个复杂的评估框架，有助于投资者做出明智的决策并优化投资策略。该方法在一组伊朗基金中的基金上进行了测试，计算结果证明了所提出方法的强大性能和稳健性。在所评估的备选方案中，TMSK成为表现最佳的基金，突出了修改后的加权聚合和乘积评估方法在促进明智投资决策和优化投资组合策略方面的有效性。
