A data envelopment analysis approach to measure the mutual fund performance
From MaRDI portal
Publication:5955078
DOI10.1016/S0377-2217(00)00311-8zbMath0988.90516OpenAlexW2007106598MaRDI QIDQ5955078
Stefania Funari, Antonella Basso
Publication date: 8 July 2002
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0377-2217(00)00311-8
Related Items (27)
Estimation of fuzzy portfolio efficiency via an improved DEA approach ⋮ Measuring the dynamic efficiency of socially responsible investment funds: evidence from dynamic network DEA with diversification ⋮ Large shareholders, control contestability and firm productive efficiency ⋮ On relations between DEA-risk models and stochastic dominance efficiency tests ⋮ Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach ⋮ Hedge fund performance appraisal using data envelopment analysis ⋮ Evaluation of mutual funds using multi-dimensional information ⋮ Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds ⋮ Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach ⋮ Congestion in Commodity Trading Advisors ⋮ Data envelopment analysis models of investment funds ⋮ Mutual funds performance appraisal using stochastic multicriteria acceptability analysis ⋮ Portfolio performance evaluation in a mean--variance--skewness framework ⋮ Performance evaluation of portfolios with margin requirements ⋮ Reformulations of input-output oriented DEA tests with diversification ⋮ DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure ⋮ A trade-level DEA model to evaluate relative performance of investment fund managers ⋮ Data envelopment analysis of mutual funds based on second-order stochastic dominance ⋮ Constant and variable returns to scale DEA models for socially responsible investment funds ⋮ Unnamed Item ⋮ Dynamic network DEA approach with diversification to multi-period performance evaluation of funds ⋮ Do mutual fund managers earn their fees? New measures for performance appraisal ⋮ Multiplier dynamic data envelopment analysis based on directional distance function: an application to mutual funds ⋮ Mutual fund performance evaluation using data envelopment analysis with new risk measures ⋮ Performance evaluation of portfolios with fuzzy returns ⋮ DEA models with a constant input for SRI mutual funds with an application to European and Swedish funds ⋮ Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
Uses Software
Cites Work
- Unnamed Item
- Measuring the efficiency of decision making units
- Performance benchmarking using interactive data envelopment analysis
- Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
- Structural Comparison of Data Envelopment Analysis and Multiple Objective Linear Programming
- Using DEA as a tool for MCDM: some remarks
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Stochastic Dominance Tests for Decreasing Absolute Risk Aversion. I. Discrete Random Variables
- On the relative efficiency of nth order and DARA stochastic dominance rules
- Risk Aversion in the Small and in the Large
This page was built for publication: A data envelopment analysis approach to measure the mutual fund performance
