Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach

DOI10.1016/S0377-2217(02)00603-3zbMath1031.91042OpenAlexW1968364796MaRDI QIDQ1410318

Rudi Vander Vennet, Julien van den Broeck, Jan Annaert

Publication date: 14 October 2003

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

Full work available at URL: https://doi.org/10.1016/s0377-2217(02)00603-3

zbMATH Keywords

FinanceInvestment analysisMutual fundsStochastic frontier

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10)

Related Items

A robust nonparametric approach to evaluate and explain the performance of mutual funds, Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model, Microfoundations for stochastic frontiers, A novel model of costly technical efficiency, Some recent developments in efficiency measurement in stochastic frontier models

Uses Software

• BSFM

Cites Work

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• Stochastic frontier models. A Bayesian perspective
• BSFM: a computer program for Bayesian stochastic frontier models
• Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error
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• Common risk factors in the returns on stocks and bonds