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Mutual Fund Performance Evaluation using Data Envelopment Analysis with Higher Moments

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  • Konstantina Pendaraki

Abstract

The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for academic researchers for managers of financial, banking and investment institutions. This paper proposes Data Envelopment Analysis, a nonparametric approach, for the evaluation of mutual fund performance. This method is applied in both mean-variance and higher moment’s framework on data of Greek mutual funds over the period 2007-2010 with encouraging results.

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  • Konstantina Pendaraki, 2012. "Mutual Fund Performance Evaluation using Data Envelopment Analysis with Higher Moments," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(5), pages 1-5.
    • Handle: RePEc:spt:apfiba:v:2:y:2012:i:5:f:2_5_5
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    Cited by:

    1. David Vidal-Tomás & Ana M. Ibáñez & José E. Farinós, 2021. "The Effect of the Launch of Bitcoin Futures on the Cryptocurrency Market: An Economic Efficiency Approach," Mathematics, MDPI, vol. 9(4), pages 1-14, February.
    2. Romana Bangash & Arif Hussain & Muhammad Hassan Azhar, 2018. "Performance Evaluation of Mutual Funds: A Data Envelopment Analysis," Global Social Sciences Review, Humanity Only, vol. 3(2), pages 215-240, June.
    3. Antonella Basso & Stefania Funari, 2017. "The role of fund size in the performance of mutual funds assessed with DEA models," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 457-473, May.

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