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An Improved DEA Prospect Cross-Efficiency Evaluation Method and Its Application in Fund Performance Analysis

Author

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  • Yangxue Ning

    (School of Mathematics, Physics and Statistics, Shanghai University of Engineering Science, Shanghai 201620, China)

  • Yan Zhang

    (School of Mathematics, Physics and Statistics, Shanghai University of Engineering Science, Shanghai 201620, China)

  • Guoqiang Wang

    (School of Mathematics, Physics and Statistics, Shanghai University of Engineering Science, Shanghai 201620, China)

Abstract

It is well known that a traditional data envelopment analysis (DEA) cross-efficiency evaluation model assumes that the decision-makers are completely rational, which causes the evaluation results to be inconsistent with the actual situation. To remedy this, in this paper, we propose an improved DEA prospect cross-efficiency evaluation method called EPCE model. The EPCE model captures the risk attitude of decision-makers and retains the decision information in the evaluation process. In particular, this new approach generates a more practical, realistic weighting scheme to measure the cross-efficiency and provides a reliable technique for ordering the decision-making units (DMUs) from the perspective of multi-criteria decision analysis. Finally, to demonstrate the validity and reliability of the proposed approach, we show an empirical analysis of mutual fund investment selection from Chinese fund market.

Suggested Citation

  • Yangxue Ning & Yan Zhang & Guoqiang Wang, 2023. "An Improved DEA Prospect Cross-Efficiency Evaluation Method and Its Application in Fund Performance Analysis," Mathematics, MDPI, vol. 11(3), pages 1-15, January.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:3:p:585-:d:1043929
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    References listed on IDEAS

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    Cited by:

    1. Pei Fun Lee & Weng Siew Lam & Weng Hoe Lam, 2023. "Performance Evaluation of the Efficiency of Logistics Companies with Data Envelopment Analysis Model," Mathematics, MDPI, vol. 11(3), pages 1-15, January.

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