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

DOI10.1016/J.EJOR.2013.11.024MaRDI QIDQ2256347zbMATHOpenAlexFDO

Authors 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

returns to scalefinancedata envelopment analysissocially responsible investingmutual fund performance evaluation

Mathematics Subject Classification ID

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

Recommendations

• DEA models with a constant input for SRI mutual funds with an application to European and Swedish funds
• Measuring the dynamic efficiency of socially responsible investment funds: evidence from dynamic network DEA with diversification
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• Modelling social responsibility in mutual fund performance appraisal: a two-stage data envelopment analysis model with non-discretionary first stage output
• Data envelopment analysis models of investment funds

Cites work

• scientific article; zbMATH DE number 5010376 (Why is no real title available?)
• scientific article; zbMATH DE number 1776908 (Why is no real title available?)
• A data envelopment analysis approach to measure the mutual fund performance
• A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA
• DEA-based hypothesis tests for comparing two groups of decision making units
• Data envelopment analysis models of investment funds
• Efficiency Analysis for Exogenously Fixed Inputs and Outputs
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
• Handbook on data envelopment analysis
• Measuring the performance of ethical mutual funds: a DEA approach
• Mutual fund performance evaluation using data envelopment analysis with new risk measures
• Negative data in DEA: a directional distance approach applied to bank branches
• Translation invariance in data envelopment analysis
• Units invariant and translation invariant DEA models

Cited in

(11)

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

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