IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v135y2001i3p477-492.html
   My bibliography  Save this article

A data envelopment analysis approach to measure the mutual fund performance

Author

Listed:
  • Basso, Antonella
  • Funari, Stefania

Abstract

No abstract is available for this item.

Suggested Citation

  • Basso, Antonella & Funari, Stefania, 2001. "A data envelopment analysis approach to measure the mutual fund performance," European Journal of Operational Research, Elsevier, vol. 135(3), pages 477-492, December.
    • Handle: RePEc:eee:ejores:v:135:y:2001:i:3:p:477-492
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(00)00311-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    2. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    3. Tarja Joro & Pekka Korhonen & Jyrki Wallenius, 1998. "Structural Comparison of Data Envelopment Analysis and Multiple Objective Linear Programming," Management Science, INFORMS, vol. 44(7), pages 962-970, July.
    4. R. G. Vickson, 1975. "Stochastic Dominance Tests for Decreasing Absolute Risk Aversion. I. Discrete Random Variables," Management Science, INFORMS, vol. 21(12), pages 1438-1446, August.
    5. Vickson, R. G., 1975. "Stochastic Dominance for Decreasing Absolute Risk Aversion," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(5), pages 799-811, December.
    6. Boussofiane, A. & Dyson, R. G. & Thanassoulis, E., 1991. "Applied data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 52(1), pages 1-15, May.
    7. Antonella Basso & Paolo Pianca, 1997. "On the relative efficiency of nth order and DARA stochastic dominance rules," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 207-222.
    8. D Bouyssou, 1999. "Using DEA as a tool for MCDM: some remarks," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 50(9), pages 974-978, September.
    9. Jean, William H. & Helms, Billy P., 1988. "The identification of stochastic dominance efficient sets by moment combination orderings," Journal of Banking & Finance, Elsevier, vol. 12(2), pages 243-253, June.
    10. Charnes, A. & Cooper, W. W. & Rhodes, E., 1978. "Measuring the efficiency of decision making units," European Journal of Operational Research, Elsevier, vol. 2(6), pages 429-444, November.
    11. Haim Levy, 1972. "Portfolio Performance and the Investment Horizon," Management Science, INFORMS, vol. 18(12), pages 645-653, August.
    12. Post, Thierry & Spronk, Jaap, 1999. "Performance benchmarking using interactive data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 115(3), pages 472-487, June.
    13. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
    14. Murthi, B. P. S. & Choi, Yoon K. & Desai, Preyas, 1997. "Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach," European Journal of Operational Research, Elsevier, vol. 98(2), pages 408-418, April.
    15. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    16. Tehranian, Hassan, 1980. "Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance," Journal of Finance, American Finance Association, vol. 35(1), pages 159-171, March.
    17. Ang, James S. & Chua, Jess H., 1979. "Composite Measures for the Evaluation of Investment Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(2), pages 361-384, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. A Basso & S Funari, 2003. "Measuring the performance of ethical mutual funds: a DEA approach," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 54(5), pages 521-531, May.
    2. Adit Chopra, 2020. "A Data Envelopment Analysis Approach to Benchmark the Performance of Mutual Funds in India," Papers 2008.10952, arXiv.org.
    3. J. Francisco Rubio & Neal Maroney & M. Kabir Hassan, 2018. "Can Efficiency of Returns Be Considered as a Pricing Factor?," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 25-54, June.
    4. George G. Kaufman, 1980. "Duration, Planning Period, And Tests Of The Capital Asset Pricing Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 1-9, March.
    5. Daraio, Cinzia & Simar, Leopold, 2006. "A robust nonparametric approach to evaluate and explain the performance of mutual funds," European Journal of Operational Research, Elsevier, vol. 175(1), pages 516-542, November.
    6. Vassilios Babalos & Michael Doumpos & Nikolaos Philippas & Constantin Zopounidis, 2015. "Towards a Holistic Approach for Mutual Fund Performance Appraisal," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 35-53, June.
    7. Ioannis E. Tsolas, 2020. "The Determinants of the Performance of Precious Metal Mutual Funds," JRFM, MDPI, vol. 13(11), pages 1-10, November.
    8. Mohammad Reza TAVAKOLI BAGHDADABAD & Afsaneh NOORI HOUSHYAR, 2014. "Productivity and Efficiency Evaluation of US Mutual Funds," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(2), pages 120-143, March.
    9. Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2010. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1899-1910, August.
    10. Yang, Jian-Bo & Wong, Brandon Y.H. & Xu, Dong-Ling & Stewart, Theodor J., 2009. "Integrating DEA-oriented performance assessment and target setting using interactive MOLP methods," European Journal of Operational Research, Elsevier, vol. 195(1), pages 205-222, May.
    11. Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
    12. Sánchez-González, Carlos & Sarto, José Luis & Vicente, Luis, 2017. "The efficiency of mutual fund companies: Evidence from an innovative network SBM approach," Omega, Elsevier, vol. 71(C), pages 114-128.
    13. Randy I. Anderson & Christopher M. Brockman & Christos Giannikos & Robert W. McLeod, 2004. "A Non-Parametric Examination of Real Estate Mutual Fund Efficiency," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(3), pages 225-238, December.
    14. Tommaso Agasisti & Giuseppe Munda & Ralph Hippe, 2019. "Measuring the efficiency of European education systems by combining Data Envelopment Analysis and Multiple-Criteria Evaluation," Journal of Productivity Analysis, Springer, vol. 51(2), pages 105-124, June.
    15. Premachandra, I.M. & Zhu, Joe & Watson, John & Galagedera, Don U.A., 2012. "Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3302-3317.
    16. G R Jahanshahloo & M Zohrehbandian & A Alinezhad & S Abbasian Naghneh & H Abbasian & R Kiani Mavi, 2011. "Finding common weights based on the DM's preference information," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(10), pages 1796-1800, October.
    17. Thomas, Peter & Chan, Yupo & Lehmkuhl, Lee & Nixon, William, 2002. "Obnoxious-facility location and data-envelopment analysis: A combined distance-based formulation," European Journal of Operational Research, Elsevier, vol. 141(3), pages 495-514, September.
    18. M Zohrehbandian & A Makui & A Alinezhad, 2010. "A compromise solution approach for finding common weights in DEA: an improvement to Kao and Hung's approach," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(4), pages 604-610, April.
    19. Makni, Rania & Benouda, Olfa & Delhoumi, Ezzedine, 2015. "Large scale analysis of Islamic equity funds using a meta-frontier approach with data envelopment analysis," Research in International Business and Finance, Elsevier, vol. 34(C), pages 324-337.
    20. Monge, Juan F. & Ruiz, José L., 2023. "Setting closer targets based on non-dominated convex combinations of Pareto-efficient units: A bi-level linear programming approach in Data Envelopment Analysis," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1084-1096.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:135:y:2001:i:3:p:477-492. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.