A trade-level DEA model to evaluate relative performance of investment fund managers

DOI10.1016/j.ejor.2016.05.056zbMath1394.90329OpenAlexW2412774722MaRDI QIDQ1752137

Janice Y. S. Chen, Paul Klumpes, Rajiv D. Banker

Publication date: 24 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://irep.ntu.ac.uk/id/eprint/28258/1/5817_Klumpes.pdf

zbMATH Keywords

data envelopment analysisfund manager performanceportfolio characteristicstrade characteristics

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Statistical methods; risk measures (91G70) Linear programming (90C05) Management decision making, including multiple objectives (90B50) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Portfolio theory (91G10)

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Cites Work

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• TSD-consistent performance assessment of mutual funds
• Measuring the performance of ethical mutual funds: a DEA approach
• A data envelopment analysis approach to measure the mutual fund performance

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