DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
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Publication:1744488
DOI10.1016/J.EJOR.2017.07.010zbMATH Open1431.91373OpenAlexW2732870307MaRDI QIDQ1744488FDOQ1744488
Authors: Zhongbao Zhou, Helu Xiao, Qianying Jin, Wenbin Liu 
Publication date: 23 April 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2017.07.010
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data envelopment analysisportfolio performance evaluationout-of-sample evaluationDEA frontier improvementsustainability information disclosure
Cites Work
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
- Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
- Performance evaluation of portfolios with margin requirements
- Resampling DEA estimates of investment fund performance
- Diversification-consistent data envelopment analysis with general deviation measures
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- Mutual fund performance evaluation using data envelopment analysis with new risk measures
- Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approach
- Data envelopment analysis models of investment funds
- A data envelopment analysis approach to measure the mutual fund performance
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- Portfolio performance evaluation in a mean--variance--skewness framework
- A robust nonparametric approach to evaluate and explain the performance of mutual funds
- Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
- Tri-criterion modeling for constructing more-sustainable mutual funds
- Improved Portfolio Choice Using Second-Order Stochastic Dominance*
- Mean-CVaR portfolio selection: a nonparametric estimation framework
- Evaluating mutual fund performance: an application of minimum convex input requirement set approach
- Hedge fund performance appraisal using data envelopment analysis
- Constant and variable returns to scale DEA models for socially responsible investment funds
- A note on mean absolute deviation
- A trade-level DEA model to evaluate relative performance of investment fund managers
- An out-of-sample evaluation of dynamic portfolio strategies
Cited In (11)
- Selecting strategic partner for tax information systems based on weight learning with belief structures
- Integration and application of rough sets and data envelopment analysis for assessments of the investment trusts industry
- A partial adjustment valuation approach with stochastic and dynamic speeds of partial adjustment to measuring and evaluating the business value of information technology
- Estimation of fuzzy portfolio efficiency via an improved DEA approach
- Enhancement of equity portfolio performance using data envelopment analysis
- Multiplier dynamic data envelopment analysis based on directional distance function: an application to mutual funds
- Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach
- Measuring the dynamic efficiency of socially responsible investment funds: evidence from dynamic network DEA with diversification
- Performance evaluation of portfolios with fuzzy returns
- Stock assessment using cumulative prospect theory in DEA cross-efficiency model: a case study of the Indian stock market
- Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model
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