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Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking

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Cited by:

  1. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.
  2. Solórzano-Taborga, Pablo & Alonso-Conde, Ana Belén & Rojo-Suárez, Javier, 2018. "Efficiency and Persistence of Spanish Absolute Return Funds || Eficiencia y persistencia de los fondos de retorno absolutos españoles," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 25(1), pages 186-214, Junio.
  3. 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.
  4. Chang, Tsung-Sheng & Tone, Kaoru & Wu, Chen-Hui, 2021. "Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation," European Journal of Operational Research, Elsevier, vol. 291(2), pages 766-781.
  5. Zhang, Linjia & Botti, Laurent & Petit, Sylvain, 2016. "Destination performance: Introducing the utility function in the mean-variance space," Tourism Management, Elsevier, vol. 52(C), pages 123-132.
  6. Kerstens, Kristiaan & Mounir, Amine & de Woestyne, Ignace Van, 2011. "Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1190-1201, May.
  7. Walter Briec & Kristiaan Kerstens & Jean Baptiste Lesourd, 2001. "Single Period Markowitz Portfolio Selection, Performance Gading and Duality: A Variation on Luenberger'a Shortage Function," Working Papers 0203, Departament Empresa, Universitat Autònoma de Barcelona, revised Apr 2002.
  8. Lamb, John D. & Tee, Kai-Hong, 2012. "Resampling DEA estimates of investment fund performance," European Journal of Operational Research, Elsevier, vol. 223(3), pages 834-841.
  9. Greg Gregoriou & Fabrice Rouah & Stephen Satchell & Fernando Diz, 2005. "Simple and cross efficiency of CTAs using data envelopment analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 393-409.
  10. Abdelouahed Hamdi & Arezou Karimi & Farshid Mehrdoust & Samir Brahim Belhaouari, 2022. "Portfolio Selection Problem Using CVaR Risk Measures Equipped with DEA, PSO, and ICA Algorithms," Mathematics, MDPI, vol. 10(15), pages 1-26, August.
  11. Martin Branda, 2016. "Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour," 4OR, Springer, vol. 14(1), pages 77-99, March.
  12. Don U. A. Galagedera & John Watson, 2015. "Benchmarking superannuation funds based on relative performance," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2959-2973, June.
  13. Simar, Léopold & Vanhems, Anne, 2012. "Probabilistic characterization of directional distances and their robust versions," Journal of Econometrics, Elsevier, vol. 166(2), pages 342-354.
  14. Briec, Walter & Kerstens, Kristiaan, 2009. "Multi-horizon Markowitz portfolio performance appraisals: A general approach," Omega, Elsevier, vol. 37(1), pages 50-62, February.
  15. Zhou, Zhongbao & Jin, Qianying & Xiao, Helu & Wu, Qian & Liu, Wenbin, 2018. "Estimation of cardinality constrained portfolio efficiency via segmented DEA," Omega, Elsevier, vol. 76(C), pages 28-37.
  16. Nalpas, Nicolas & Simar, Leopold & Vanhems, Anne, 2016. "Portfolio Selection in a Multi-Input Multi-Output Setting:a Simple Monte-Carlo-FDH Algorithm," LIDAM Discussion Papers ISBA 2016022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  17. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2010. "Benchmarking Mean-Variance Portfolios. Using a Shortage Function: The Choice of Direction Vector," Working Papers 2010/01, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  18. Kerstens, Kristiaan & Mazza, Paolo & Ren, Tiantian & Van de Woestyne, Ignace, 2022. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Omega, Elsevier, vol. 113(C).
  19. Jin, Qianying & Basso, Antonella & Funari, Stefania & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2024. "Evaluating different groups of mutual funds using a metafrontier approach: Ethical vs. non-ethical funds," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1134-1145.
  20. Andreu, Laura & Serrano, Miguel & Vicente, Luis, 2019. "Efficiency of mutual fund managers: A slacks-based manager efficiency index," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1180-1193.
  21. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 442-471, December.
  22. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand B. Maillet, 2014. "A Survey On The Four Families Of Performance Measures," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 917-942, December.
  23. Sabri Boubaker & Riadh Manita & Salma Mefteh-Wali, 2022. "Foreign currency hedging and firm productive efficiency," Annals of Operations Research, Springer, vol. 313(2), pages 833-854, June.
  24. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2019. "Does active management add value? New evidence from a quantile regression approach," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1734-1751, October.
  25. 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.
  26. Tarnaud, Albane Christine & Leleu, Hervé, 2018. "Portfolio analysis with DEA: Prior to choosing a model," Omega, Elsevier, vol. 75(C), pages 57-76.
  27. Sabri Boubaker & Riadh Manita & Wael Rouatbi, 2021. "Large shareholders, control contestability and firm productive efficiency," Annals of Operations Research, Springer, vol. 296(1), pages 591-614, January.
  28. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa Ausina, 2011. "On the informativeness of persistence for mutual funds' performance evaluation using partial frontiers," Working Papers. Serie EC 2011-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  29. Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
  30. Jens J. Krüger, 2021. "Nonparametric portfolio efficiency measurement with higher moments," Empirical Economics, Springer, vol. 61(3), pages 1435-1459, September.
  31. Pablo Solórzano-Taborga & Ana Belén Alonso-Conde & Javier Rojo-Suárez, 2020. "Data Envelopment Analysis and Multifactor Asset Pricing Models," IJFS, MDPI, vol. 8(2), pages 1-18, April.
  32. Krüger, Jens J., 2021. "Nonparametric portfolio efficiency measurement with higher moments," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 130825, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  33. Basso, Antonella & Funari, Stefania, 2014. "Constant and variable returns to scale DEA models for socially responsible investment funds," European Journal of Operational Research, Elsevier, vol. 235(3), pages 775-783.
  34. Lozano, Sebastián & Gutiérrez, Ester, 2008. "Data envelopment analysis of mutual funds based on second-order stochastic dominance," European Journal of Operational Research, Elsevier, vol. 189(1), pages 230-244, August.
  35. Olivier Massol & Albert Banal-Estañol, 2011. "Export diversification and resource-based industrialization : the case of natural gas," Working Papers hal-01031565, HAL.
  36. Konstantina Pendaraki & Michael Doumpos & Constantin Zopounidis, 2003. "Assessing Equity Mutual Funds' Performance Using a Multicriteria Methodology: A Comparative Analysis," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 1(1), pages 85-104.
  37. Ruiyue Lin & Zhiping Chen & Qianhui Hu & Zongxin Li, 2017. "Dynamic network DEA approach with diversification to multi-period performance evaluation of funds," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(3), pages 821-860, July.
  38. Ioannis E. Tsolas, 2020. "Precious Metal Mutual Fund Performance Evaluation: A Series Two-Stage DEA Modeling Approach," JRFM, MDPI, vol. 13(5), pages 1-13, April.
  39. Ioannis E. Tsolas, 2020. "The Determinants of the Performance of Precious Metal Mutual Funds," JRFM, MDPI, vol. 13(11), pages 1-10, November.
  40. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Management Science, INFORMS, vol. 53(1), pages 135-149, January.
  41. Huyen Nguyen-Thi-Thanh, 2006. "On the Use of Data Envelopment Analysis in Hedge Fund Performance Appraisal," Working Papers halshs-00120292, HAL.
  42. Joro, Tarja & Na, Paul, 2006. "Portfolio performance evaluation in a mean-variance-skewness framework," European Journal of Operational Research, Elsevier, vol. 175(1), pages 446-461, November.
  43. Beatrice D. Simo-Kengne & Kofi A. Ababio & Jules Mba & Ur Koumba, 2018. "Behavioral portfolio selection and optimization: an application to international stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 311-328, August.
  44. Galagedera, Don U.A. & Fukuyama, Hirofumi & Watson, John & Tan, Eric K.M., 2020. "Do mutual fund managers earn their fees? New measures for performance appraisal," European Journal of Operational Research, Elsevier, vol. 287(2), pages 653-667.
  45. Javier Vidal-García & Marta Vidal & Sabri Boubaker & Majdi Hassan, 2018. "The efficiency of mutual funds," Annals of Operations Research, Springer, vol. 267(1), pages 555-584, August.
  46. Krüger, Jens J., 2024. "Nonparametric portfolio efficiency measurement with higher moments," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 144371, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  47. Abdelsalam, Omneya & Duygun, Meryem & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2014. "Do ethics imply persistence? The case of Islamic and socially responsible funds," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 182-194.
  48. 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.
  49. Newton da Costa, Jr. & Marcus Lima & Edgar Lanzer & Ana Lopes, 2008. "DEA investment strategy in the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 13(2), pages 1-10.
  50. repec:ies:wpaper:e201218 is not listed on IDEAS
  51. Lamb, John D. & Tee, Kai-Hong, 2012. "Data envelopment analysis models of investment funds," European Journal of Operational Research, Elsevier, vol. 216(3), pages 687-696.
  52. Xiao, Helu & Zhou, Zhongbao & Ren, Teng & Liu, Wenbin, 2022. "Estimation of portfolio efficiency in nonconvex settings: A free disposal hull estimator with non-increasing returns to scale," Omega, Elsevier, vol. 111(C).
  53. Timo Kuosmanen, 2007. "Performance measurement and best-practice benchmarking of mutual funds: combining stochastic dominance criteria with data envelopment analysis," Journal of Productivity Analysis, Springer, vol. 28(1), pages 71-86, October.
  54. Woo, Chi-Keung & Horowitz, Ira & Olson, Arne & Horii, Brian & Baskette, Carmen, 2006. "Efficient frontiers for electricity procurement by an LDC with multiple purchase options," Omega, Elsevier, vol. 34(1), pages 70-80, January.
  55. Massol, Olivier & Banal-Estañol, Albert, 2014. "Export diversification through resource-based industrialization: The case of natural gas," European Journal of Operational Research, Elsevier, vol. 237(3), pages 1067-1082.
  56. Y Ito & S Managi & A Matsuda, 2013. "Performances of socially responsible investment and environmentally friendly funds," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 64(11), pages 1583-1594, November.
  57. 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.
  58. 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.
  59. Huyen Nguyen-Thi-Thanh, 2006. "Quantitative selection of hedge funds using data envelopment analysis," Post-Print halshs-00067742, HAL.
  60. W. Briec & K. Kerstens & J. B. Lesourd, 2004. "Single-Period Markowitz Portfolio Selection, Performance Gauging, and Duality: A Variation on the Luenberger Shortage Function," Journal of Optimization Theory and Applications, Springer, vol. 120(1), pages 1-27, January.
  61. Zeng, Ximei & Zhou, Zhongbao & Gong, Yeming & Liu, Wenbin, 2022. "A data envelopment analysis model integrated with portfolio theory for energy mix adjustment: Evidence in the power industry," Socio-Economic Planning Sciences, Elsevier, vol. 83(C).
  62. Sweksha Srivastava & Abha Aggarwal & Pooja Bansal, 2024. "Efficiency Evaluation of Assets and Optimal Portfolio Generation by Cross Efficiency and Cumulative Prospect Theory," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 129-158, January.
  63. S Lozano & E Gutiérrez, 2008. "TSD-consistent performance assessment of mutual funds," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(10), pages 1352-1362, October.
  64. Gregoriou, Greg N. & Sedzro, Komlan & Zhu, Joe, 2005. "Hedge fund performance appraisal using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 555-571, July.
  65. Brandouy, Olivier & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2015. "Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis," European Journal of Operational Research, Elsevier, vol. 242(1), pages 332-342.
  66. Xiao, Helu & Ren, Tiantian & Zhou, Zhongbao & Liu, Wenbin, 2021. "Parameter uncertainty in estimation of portfolio efficiency: Evidence from an interval diversification-consistent DEA approach," Omega, Elsevier, vol. 103(C).
  67. Banker, Rajiv & Chen, Janice Y.S. & Klumpes, Paul, 2016. "A trade-level DEA model to evaluate relative performance of investment fund managers," European Journal of Operational Research, Elsevier, vol. 255(3), pages 903-910.
  68. Lin, Ruiyue & Liu, Qian, 2021. "Multiplier dynamic data envelopment analysis based on directional distance function: An application to mutual funds," European Journal of Operational Research, Elsevier, vol. 293(3), pages 1043-1057.
  69. Mohammad Mehdi Hosseinzadeh & Sergio Ortobelli Lozza & Farhad Hosseinzadeh Lotfi & Vittorio Moriggia, 2023. "Portfolio optimization with asset preselection using data envelopment analysis," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(1), pages 287-310, March.
  70. Don U.A. Galagedera, 2004. "A Survey On Investment Performance Appraisal Methods With Special Reference To Data Envelopment Analysis," Finance 0406013, University Library of Munich, Germany.
  71. Liu, Wenbin & Zhou, Zhongbao & Liu, Debin & Xiao, Helu, 2015. "Estimation of portfolio efficiency via DEA," Omega, Elsevier, vol. 52(C), pages 107-118.
  72. 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.
  73. Pornanong Budsaratragoon & Boonlert Jitmaneeroj, 2021. "Fund Ratings of Socially Responsible Investing (SRI) Funds: A Precautionary Note," Sustainability, MDPI, vol. 13(14), pages 1-25, July.
  74. Lin, Ruiyue & Li, Zongxin, 2020. "Directional distance based diversification super-efficiency DEA models for mutual funds," Omega, Elsevier, vol. 97(C).
  75. repec:ebl:ecbull:v:13:y:2008:i:2:p:1-10 is not listed on IDEAS
  76. Wei Chen & Yuxi Gai & Pankaj Gupta, 2018. "Efficiency evaluation of fuzzy portfolio in different risk measures via DEA," Annals of Operations Research, Springer, vol. 269(1), pages 103-127, October.
  77. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
  78. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).
  79. Zhou, Zhongbao & Xiao, Helu & Jin, Qianying & Liu, Wenbin, 2018. "DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure," European Journal of Operational Research, Elsevier, vol. 269(1), pages 111-131.
  80. Thomas Koellner & Olaf Weber & Marcus Fenchel & Roland Scholz, 2005. "Principles for sustainability rating of investment funds," Business Strategy and the Environment, Wiley Blackwell, vol. 14(1), pages 54-70, January.
  81. Glawischnig, Markus & Sommersguter-Reichmann, Margit, 2010. "Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing?," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 295-303, February.
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