Mutual fund performance evaluation using data envelopment analysis with new risk measures
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Publication:2507569
DOI10.1007/S00291-005-0032-1zbMATH Open1130.90024OpenAlexW1984766746MaRDI QIDQ2507569FDOQ2507569
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
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Cites Work
- Coherent measures of risk
- Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis
- Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
- A data envelopment analysis approach to measure the mutual fund performance
- Translation invariance in data envelopment analysis: A generalization
- Title not available (Why is that?)
- An algorithm for evaluating stable densities in Zolotarev's \((M)\) parameterization
- A generalized performance attribution technique for mutual funds
Cited In (32)
- 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
- Constant and variable returns to scale DEA models for socially responsible investment funds
- DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
- 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
- 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
- Analysis of hedge fund strategies using slack-based DEA models
- NEW DEA PERFORMANCE EVALUATION INDICES AND THEIR APPLICATIONS IN THE AMERICAN FUND MARKET
- Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
- The predictive power of fund ratings with a novel approach using uncertainty measures to analyzing risk
- A generalized performance attribution technique for mutual funds
- Hedge fund performance appraisal using data envelopment analysis
- 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
- Title not available (Why is that?)
- Portfolio performance benchmarking with data envelopment analysis
- TSD-consistent performance assessment of mutual funds
- Evaluating mutual fund performance: an application of minimum convex input requirement set approach
- Performance evaluation of portfolios with fuzzy returns
- Mutual fund evaluation: a portfolio insurance approach. A heuristic application in Spain
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