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Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing?

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  • Glawischnig, Markus
  • Sommersguter-Reichmann, Margit
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    Abstract

    DEA-based performance assessment in the alternative investment fund industry is often motivated by the fact that DEA is capable of simultaneously handling multiple input (risk) and multiple output (return) measures, thereby still offering a single real number as a performance index without utilizing subjective weights to aggregate these inputs and outputs. This paper aims at investigating whether DEA-based performance indexes previously used to assess alternative investment fund performance are actually able to satisfy these properties, and to contrast the findings using a DEA-based performance index with those using a traditional financial performance index.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 34 (2010)
    Issue (Month): 2 (February)
    Pages: 295-303

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    Handle: RePEc:eee:jbfina:v:34:y:2010:i:2:p:295-303

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    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Non-parametric performance evaluation Alternative investments Financial performance indexes Modified Sharpe ratio;

    References

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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. repec:ies:wpaper:e201218 is not listed on IDEAS
    3. 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.
    4. Antonella Basso & Stefania Funari, 2012. "Constant and variable returns to scale DEA models for socially responsible investment funds," Working Papers 2012_20, Department of Economics, University of Venice "Ca' Foscari".
    5. Olivier Brandouy & Walter Briec & Kristiaan Kerstens & Ignace Van de Woestyne, 2008. "Portfolio Performance Gauging in Discrete Time Using a Luenberger Productivity Indicator," Working Papers 2008-ECO-12, IESEG School of Management, revised Oct 2009.
    6. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2010. "Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments: Some Specification Tests," Working Papers 2010/10, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    7. Avkiran, Necmi K., 2011. "Association of DEA super-efficiency estimates with financial ratios: Investigating the case for Chinese banks," Omega, Elsevier, vol. 39(3), pages 323-334, June.

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