A generalized performance attribution technique for mutual funds

zbMath1136.91413MaRDI QIDQ2493271

Stefania Funari, Antonella Basso

Publication date: 12 June 2006

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

zbMATH Keywords

data envelopment analysismutual fund performanceperformance attribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

DEA based dimensionality reduction for classification problems satisfying strict non-satiety assumption ⋮ Mutual fund performance evaluation using data envelopment analysis with new risk measures ⋮ Asset allocation strategies in the presence of liability constraints

Uses Software

• DEA

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