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Nonparametric analysis of portfolio efficiency

Author

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  • Jati Sengupta
  • T. Zohar

Abstract

A nonparametric method is empirically applied here to test the efficiency in performance of mutual fund portfolios. It provides a more flexible and robust alternative to the traditional mean variance theory.

Suggested Citation

  • Jati Sengupta & T. Zohar, 2001. "Nonparametric analysis of portfolio efficiency," Applied Economics Letters, Taylor & Francis Journals, vol. 8(4), pages 249-252.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:4:p:249-252
    DOI: 10.1080/135048501750103999
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    Cited by:

    1. Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
    2. Jialin Li & Siying Li, 2018. "An Empirical Analysis of the Impact of Fund Manager¡¯s Personal Characteristics on Fund Performance in China¡¯s Fund Market - Based on DEA Model and Threshold Panel Model," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(2), pages 216-226, April.
    3. Panayotis Alexakis & Ioannis Tsolas, 2011. "Appraisal of Mutual Equity Fund Performance Using Data Envelopment Analysis," Multinational Finance Journal, Multinational Finance Journal, vol. 15(3-4), pages 273-296, September.

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