Constant and variable returns to scale DEA models for socially responsible investment funds

DOI10.1016/j.ejor.2013.11.024zbMath1305.90292OpenAlexW3124216381MaRDI QIDQ2256347

Antonella Basso, Stefania Funari

Publication date: 19 February 2015

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

Full work available at URL: http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2012/WP_DSE_basso_funari_20_12.pdf

zbMATH Keywords

data envelopment analysisreturns to scalefinancesocially responsible investingmutual fund performance evaluation

Mathematics Subject Classification ID

Decision theory (91B06) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (8)

Measuring the dynamic efficiency of socially responsible investment funds: evidence from dynamic network DEA with diversification ⋮ Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds ⋮ Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model ⋮ Evaluating different groups of mutual funds using a metafrontier approach: ethical vs. non-ethical funds ⋮ DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure ⋮ Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment ⋮ Markowitz revisited: social portfolio engineering ⋮ DEA models with a constant input for SRI mutual funds with an application to European and Swedish funds

Cites Work

• Units invariant and translation invariant DEA models
• Data envelopment analysis models of investment funds
• Translation invariance in data envelopment analysis
• DEA-based hypothesis tests for comparing two groups of decision making units
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
• Handbook on data envelopment analysis
• A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA
• Mutual fund performance evaluation using data envelopment analysis with new risk measures
• Efficiency Analysis for Exogenously Fixed Inputs and Outputs
• Negative data in DEA: a directional distance approach applied to bank branches
• Measuring the performance of ethical mutual funds: a DEA approach
• A data envelopment analysis approach to measure the mutual fund performance
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