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

DOI10.1007/s00291-005-0032-1zbMath1130.90024OpenAlexW1984766746MaRDI QIDQ2507569

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 evaluationRisk measuresReturnMutual funds

Mathematics Subject Classification ID

Related Items (15)

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Uses Software

• STABLE
• RiskMetrics

Cites Work

• Unnamed Item
• Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis
• An algorithm for evaluating stable densities in Zolotarev's \((M)\) parameterization
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
• Translation invariance in data envelopment analysis: A generalization
• A generalized performance attribution technique for mutual funds
• Coherent Measures of Risk
• A data envelopment analysis approach to measure the mutual fund performance

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