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Resampling DEA estimates of investment fund performance

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  • Lamb, John D.
  • Tee, Kai-Hong

Abstract

Data envelopment analysis (DEA) is attractive for comparing investment funds because it handles different characteristics of fund distribution and gives a way to rank funds. There is substantial literature applying DEA to funds, based on the time series of funds’ returns. This article looks at the issue of uncertainty in the resulting DEA efficiency estimates, investigating consistency and bias. It uses the bootstrap to develop stochastic DEA models for funds, derive confidence intervals and develop techniques to compare and rank funds and represent the ranking. It investigates how to deal with autocorrelation in the time series and considers models that deal with correlation in the funds’ returns.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:ejores:v:223:y:2012:i:3:p:834-841
    DOI: 10.1016/j.ejor.2012.07.015
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    References listed on IDEAS

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    Cited by:

    1. repec:gam:jsusta:v:8:y:2016:i:4:p:324:d:67033 is not listed on IDEAS
    2. Shihong Zeng & Mimi Hu & Bin Su, 2016. "Research on Investment Efficiency and Policy Recommendations for the Culture Industry of China Based on a Three-Stage DEA," Sustainability, MDPI, Open Access Journal, vol. 8(4), pages 1-15, March.
    3. repec:spr:annopr:v:253:y:2017:i:1:d:10.1007_s10479-016-2294-1 is not listed on IDEAS
    4. Branda, Martin, 2013. "Diversification-consistent data envelopment analysis with general deviation measures," European Journal of Operational Research, Elsevier, vol. 226(3), pages 626-635.
    5. 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.
    6. repec:eee:jomega:v:73:y:2017:i:c:p:104-113 is not listed on IDEAS
    7. Branda, Martin, 2015. "Diversification-consistent data envelopment analysis based on directional-distance measures," Omega, Elsevier, vol. 52(C), pages 65-76.

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