Performance measurement and best-practice benchmarking of mutual funds: combining stochastic dominance criteria with data envelopment analysis
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Journal of Productivity Analysis.
Volume (Year): 28 (2007)
Issue (Month): 1 (October)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=100296
Activity analysis; Diversification; Fund management; Portfolio choice; Risk management; G11; D81; C61;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
- Léopold Simar & Paul Wilson, 2000.
"Statistical Inference in Nonparametric Frontier Models: The State of the Art,"
Journal of Productivity Analysis, Springer,
Springer, vol. 13(1), pages 49-78, January.
- Simar, L. & Wilson, P.W., 1999. "Statistical Inference in Nonparametric Frontier Models: the State of the Art," Papers, Catholique de Louvain - Institut de statistique 9904, Catholique de Louvain - Institut de statistique.
- Charnes, A. & Cooper, W. W. & Rhodes, E., 1978. "Measuring the efficiency of decision making units," European Journal of Operational Research, Elsevier, Elsevier, vol. 2(6), pages 429-444, November.
- Schmidt, Peter & Sickles, Robin C, 1984. "Production Frontiers and Panel Data," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 2(4), pages 367-74, October.
- Charnes, A. & Cooper, W. W. & Golany, B. & Seiford, L. & Stutz, J., 1985. "Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions," Journal of Econometrics, Elsevier, Elsevier, vol. 30(1-2), pages 91-107.
- Morey, Matthew R. & Morey, Richard C., 1999. "Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking," Omega, Elsevier, vol. 27(2), pages 241-258, April.
- Jonathan B. Berk, 2000. "Sorting Out Sorts," Journal of Finance, American Finance Association, American Finance Association, vol. 55(1), pages 407-427, 02.
- R. D. Banker & A. Charnes & W. W. Cooper, 1984. "Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis," Management Science, INFORMS, INFORMS, vol. 30(9), pages 1078-1092, September.
- Basso, Antonella & Funari, Stefania, 2001. "A data envelopment analysis approach to measure the mutual fund performance," European Journal of Operational Research, Elsevier, Elsevier, vol. 135(3), pages 477-492, December.
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(2), pages 427-65, June.
- Timo Kuosmanen, 2001. "Stochastic Dominance Efficiency Tests under Diversification," Finance, EconWPA 0105001, EconWPA.
- V.-P. Heikkinen & & Timo Kuosmanen, 2002. "Stochastic Dominance Portfolio Analysis of Forestry Assets," Finance, EconWPA 0210002, EconWPA.
- Per Andersen & Niels Christian Petersen, 1993. "A Procedure for Ranking Efficient Units in Data Envelopment Analysis," Management Science, INFORMS, INFORMS, vol. 39(10), pages 1261-1264, October.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(1), pages 3-56, February.
- Chambers, Robert G. & FÃ¤re, Rolf, 2011. "Efficiency analysis, shortage functions, arbitrage, and martingales," European Journal of Operational Research, Elsevier, Elsevier, vol. 213(1), pages 349-358, August.
- Amparo Soler DomÃnguez & Juan Carlos MatallÃn SÃ¡ez & Emili Tortosa Ausina, 2011. "On the informativeness of persistence for mutual funds' performance evaluation using partial frontiers," Working Papers. Serie EC, Instituto Valenciano de Investigaciones EconÃ³micas, S.A. (Ivie) 2011-08, Instituto Valenciano de Investigaciones EconÃ³micas, S.A. (Ivie).
- Andrey Lizyayev, 2010. "Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements," Tinbergen Institute Discussion Papers 10-084/2, Tinbergen Institute.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.