A robust nonparametric approach to evaluate and explain the performance of mutual funds
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Publication:2432870
DOI10.1016/J.EJOR.2005.06.010zbMATH Open1137.91442OpenAlexW1993838315MaRDI QIDQ2432870FDOQ2432870
Authors: 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
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Cited In (35)
- Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model
- On relations between DEA-risk models and stochastic dominance efficiency tests
- Competitive conditions and sectors' productive efficiency: a conditional non-parametric frontier analysis
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- Distance-based beta regression for prediction of mutual funds
- Technical note: Longitudinal performance stratification -- an iterative Kolmogorov-Smirnov approach
- A distribution-free approach to estimating best response values with application to mutual fund performance modeling
- DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
- Efficiency dynamics in Indian banking: a conditional directional distance approach
- Do mutual fund managers earn their fees? New measures for performance appraisal
- Mutual funds performance appraisal using stochastic multicriteria acceptability analysis
- A novel robust network data envelopment analysis approach for performance assessment of mutual funds under uncertainty
- Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
- Probabilistic characterization of directional distances and their robust versions
- Nonparametric conditional efficiency measures: asymptotic properties
- Optimal bandwidth selection for conditional efficiency measures: a data-driven approach
- Distribution of cost and profit efficiency: evidence from Indian banking
- Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach
- Explaining inefficiency in nonparametric production models: the state of the art
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- New methods for ordering multivariate data: an application to the performance of investment funds
- A nonparametric quantity-of-quality approach to assessing financial asset return performance
- Analysis of Incremental Returns of Canadian Mutual Funds
- Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
- Fundamental analysis, technical analysis, and mutual fund performance
- Statistical inference for DEA estimators of directional distances
- A Bayesian learning model of hedge fund performance
- Nonparametric efficiency analysis: a multivariate conditional quantile approach
- Bootstrap analysis of mutual fund performance
- How to measure the impact of environmental factors in a nonparametric production model
- A bootstrap approach for bandwidth selection in estimating conditional efficiency measures
- Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach
- Efficiency assessment of primary care providers: a conditional nonparametric approach
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- Evaluating mutual fund performance: an application of minimum convex input requirement set approach
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