Mutual funds portfolio selection for emerging market: The case for Egypt

This paper examines portfolio selection for mutual funds in Egyptian financial market based on Sharpe, Treynor and Goal Programming methodologies. The mutual funds are ranked and portfolios are constructed from the top 5 funds obtained from Sharpe and Treynor methodology respectively. Goal Programming is used to construct a portfolio of 5 mutual funds. The portfolios from the three approaches are compared against each other as well as against the benchmark. The performance comparison reveals that the portfolios constructed based on Sharpe and GP have the minimum deviations from each other as well as the benchmark. Although Sharpe and Treynor methodologies of ranking and selecting best mutual funds are well established historically, this research finds GP performing as good, if not better, than both Sharpe and Treynor in the Egyptian financial market.