Mutual fund performance evaluation using data envelopment analysis with new risk measures

DOI10.1007/S00291-005-0032-1MaRDI QIDQ2507569zbMATH OpenOpenAlexFDO

Authors Zhiping Chen, Ruiyue Lin

Publication date 4 October 2006

Published in OR Spectrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00291-005-0032-1

zbMATH Keywords

Data envelopment analysisPerformance evaluationMutual fundsReturnRisk measures

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Recommendations

• NEW DEA PERFORMANCE EVALUATION INDICES AND THEIR APPLICATIONS IN THE AMERICAN FUND MARKET
• Evaluation of mutual funds using multi-dimensional information
• Data envelopment analysis of mutual funds based on second-order stochastic dominance
• Dynamic network DEA approach with diversification to multi-period performance evaluation of funds
• Hedge fund performance appraisal using data envelopment analysis

Cites work

• scientific article; zbMATH DE number 1776908 (Why is no real title available?)
• A data envelopment analysis approach to measure the mutual fund performance
• A generalized performance attribution technique for mutual funds
• An algorithm for evaluating stable densities in Zolotarev's (M) parameterization
• Coherent measures of risk
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
• Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis
• Translation invariance in data envelopment analysis: A generalization

Cited in

(34)

• Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
• On relations between DEA-risk models and stochastic dominance efficiency tests
• Data envelopment analysis models of investment funds
• A novel method for selecting a single efficient unit in data envelopment analysis without explicit inputs/outputs
• Evaluating the dynamic performance of energy portfolios: empirical evidence from the DEA directional distance function
• DEA models with a constant input for SRI mutual funds with an application to European and Swedish funds
• DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
• Constant and variable returns to scale DEA models for socially responsible investment funds
• Two-stage financial risk tolerance assessment using data envelopment analysis
• Do mutual fund managers earn their fees? New measures for performance appraisal
• Estimation of fuzzy portfolio efficiency via an improved DEA approach
• A novel robust network data envelopment analysis approach for performance assessment of mutual funds under uncertainty
• Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach
• Multiplier dynamic data envelopment analysis based on directional distance function: an application to mutual funds
• Dynamic network DEA approach with diversification to multi-period performance evaluation of funds
• Resampling DEA estimates of investment fund performance
• Reformulations of input-output oriented DEA tests with diversification
• Data envelopment analysis of mutual funds based on second-order stochastic dominance
• Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
• Analysis of hedge fund strategies using slack-based DEA models
• The predictive power of fund ratings with a novel approach using uncertainty measures to analyzing risk
• NEW DEA PERFORMANCE EVALUATION INDICES AND THEIR APPLICATIONS IN THE AMERICAN FUND MARKET
• A generalized performance attribution technique for mutual funds
• Hedge fund performance appraisal using data envelopment analysis
• Efficiency of socially responsible investments in the context of portfolio management
• A trade-level DEA model to evaluate relative performance of investment fund managers
• A robust nonparametric approach to evaluate and explain the performance of mutual funds
• Evaluation of mutual funds using multi-dimensional information
• Portfolio performance benchmarking with data envelopment analysis
• scientific article; zbMATH DE number 5005915 (Why is no real title available?)
• Evaluating mutual fund performance: an application of minimum convex input requirement set approach
• TSD-consistent performance assessment of mutual funds
• Performance evaluation of portfolios with fuzzy returns
• Mutual fund evaluation: a portfolio insurance approach. A heuristic application in Spain

Describes a project that uses

Uses Software

• RiskMetrics
• STABLE

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