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A Survey On Investment Performance Appraisal Methods With Special Reference To Data Envelopment Analysis

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  • Don U.A. Galagedera

    (Monash University)

Abstract

This paper offers a review of investment performance appraisal methods. The review starts with an exhaustive coverage of various methods ranging from early measures of risk-adjusted return to more recent methods including the rating given by ASSIRT, a financial services organisation that assess managed investment in Australia. We then extend the discussion to performance evaluations based on the concept of production frontier estimation. Primarily, there are two competing theories of frontier estimation, known as stochastic frontier estimation and data envelopment analysis (DEA). DEA enables the inclusion of many factors in the analysis in addition to the usual return and risk measures and therefore is widely used in empirical studies in finance. The DEA methodology and its application in the finance sector are discussed in detail.

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File URL: http://128.118.178.162/eps/fin/papers/0406/0406013.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0406013.

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Length: 30 pages
Date of creation: 23 Jun 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0406013

Note: Type of Document - pdf; pages: 30
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Web page: http://128.118.178.162

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Keywords: Investment performance appraisal; data envelopment analysis;

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Cited by:
  1. Chris Tofallis, 2011. "Investment Volatility: A Critique of Standard Beta Estimation and a Simple Way Forward," Papers 1109.4422, arXiv.org.
  2. Don Galagedera, 2010. "Association between environmental factors and equity market performance: evidence from a nonparametric frontier method," Financial Markets and Portfolio Management, Springer, vol. 24(3), pages 245-269, September.

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