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Efficiency tests for mutual fund portfolios

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  • Jati Sengupta
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    Abstract

    A set of nonparametric tests which includes the convex hull method and the stochastic dominance criteria is developed here for evaluating the performance of mutual fund portfolios. The empirical results support the hypothesis that some groups of funds based on new technology tend to outperform the others and in most cases the investor shows a preference for skewness, thus emphasizing an asymmetry in the mean variance relationship. Technology funds tend to exhibit second order stochastic dominance over the income and growth funds. This shows some new features of the mean variance efficiency frontier.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100210161992
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 13 (2003)
    Issue (Month): 12 ()
    Pages: 869-876

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    Handle: RePEc:taf:apfiec:v:13:y:2003:i:12:p:869-876

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    Cited by:
    1. Babalos, Vassilios & Philippas, Nikolaos & Doumpos, Michael & Zompounidis, Constantin, 2011. "Mutual funds performance appraisal using stochastic multicriteria acceptability analysis," MPRA Paper 37953, University Library of Munich, Germany.
    2. 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.
    3. NGUYEN-THI-THANH Huyen, 2007. "On the use of data envelopment analysis in hedge fund performance appraisal," Money Macro and Finance (MMF) Research Group Conference 2006 131, Money Macro and Finance Research Group.
    4. 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 27, October.
    5. Babalos, Vassilios & Caporale, Guglielmo Maria & Philippas, Nikolaos, 2012. "Efficiency evaluation of Greek equity funds," Research in International Business and Finance, Elsevier, vol. 26(2), pages 317-333.
    6. Huyen Nguyen-Thi-Thanh, 2006. "Quantitative selection of hedge funds using data envelopment analysis," Post-Print halshs-00067742, HAL.
    7. Mohammad Reza TAVAKOLI BAGHDADABAD & Afsaneh NOORI HOUSHYAR, 2014. "Productivity and Efficiency Evaluation of US Mutual Funds," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(2), pages 120-143, March.
    8. Agata Sielska, 2010. "Multicriteria rankings of open-end investment funds and their stability," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 111-129.

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