Fuzzy Systems and its Applications

Fuzzy Systems and its Applications

Performance Evaluation and Credit Rating of Mutual Funds Using the Optimistic-Pessimistic Fuzzy Network Data Envelopment Analysis Approach

Document Type : Original Article

Authors
1 Department of Management, Humanities, Kerman Branch, Islamic Azad University, Kerman, Iran
2 Department of Industrial Engineering, Faculty of Engineering, Kerman Branch, Islamic Azad University, Kerman, Iran
3 School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
10.22034/jfsa.2025.479866.1243
Abstract
This study proposes an effective and powerful approach for analyzing the performance, credit rating, and ranking of mutual funds, taking into account their inherent network structures and the uncertainties prevalent in financial markets. To this end, the network structure and internal operations of mutual funds are modeled using a network data envelopment analysis (NDEA) approach based on collective efficiency decomposition. Additionally, to address uncertain and fuzzy data, a hybrid method combining possibilistic programming (employing possibility and necessity measures) and chance-constrained programming is utilized. Finally, the efficacy of the proposed fuzzy NDEA approach, developed under both optimistic and pessimistic scenarios, is validated using data from several active mutual funds in the Iranian capital market. The results highlight the capability of the proposed methodology in evaluating performance and analyzing the efficiency of mutual funds.
Keywords
Subjects


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Volume 7, Issue 2 - Serial Number 15
Open Access Statement
December 2024
Pages 149-180

  • Receive Date 22 September 2024
  • Revise Date 20 November 2024
  • Accept Date 15 February 2025