A robust nonparametric approach to evaluate and explain the performance of mutual funds

DOI10.1016/j.ejor.2005.06.010zbMath1137.91442OpenAlexW1993838315MaRDI QIDQ2432870

Cinzia Daraio, Léopold Simar

Publication date: 25 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.06.010

zbMATH Keywords

robust estimationportfolio analysisnonparametric frontiereconomies of scalemutual funds

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites Work

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• Measuring the efficiency of decision making units
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• Stochastic frontier models. A Bayesian perspective
• Maximum probability dominance and portfolio theory
• Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach
• Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
• Non-parametric tests of returns to scale
• Nonparametric frontier estimation: A robust approach.
• Handbook on data envelopment analysis
• Portfolio efficiency tests based on stochastic dominance and co-integration
• Stochastic Frontier Analysis
• The Coefficient of Resource Utilization

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