Resampling DEA estimates of investment fund performance
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.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- Joro, Tarja & Na, Paul, 2006. "Portfolio performance evaluation in a mean-variance-skewness framework," European Journal of Operational Research, Elsevier, vol. 175(1), pages 446-461, November.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
- Walter Briec & Kristiaan Kerstens, 2009.
"Portfolio Selection in Multidimensional General and Partial Moment Space,"
2009-ECO-08, IESEG School of Management.
- Briec, Walter & Kerstens, Kristiaan, 2010. "Portfolio selection in multidimensional general and partial moment space," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 636-656, April.
- Rajiv D. Banker, 1993. "Maximum Likelihood, Consistency and Data Envelopment Analysis: A Statistical Foundation," Management Science, INFORMS, vol. 39(10), pages 1265-1273, October.
- Mickael Lothgren & Magnus Tambour, 1999. "Bootstrapping the data envelopment analysis Malmquist productivity index," Applied Economics, Taylor & Francis Journals, vol. 31(4), pages 417-425.
- Simar, L. & Wilson, P.W., .
"Sensitivity analysis of efficiency scores: how to bootstrap in nonparametric frontier models,"
CORE Discussion Papers RP
-1304, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Léopold Simar & Paul W. Wilson, 1998. "Sensitivity Analysis of Efficiency Scores: How to Bootstrap in Nonparametric Frontier Models," Management Science, INFORMS, vol. 44(1), pages 49-61, January.
- SIMAR, Léopold & WILSON, Paul, 1995. "Sensitivity Analysis to Efficiency Scores : How to Bootstrap in Nonparametric Frontier Models," CORE Discussion Papers 1995043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2007. "Do hedge funds deliver alpha? A Bayesian and bootstrap analysis," Journal of Financial Economics, Elsevier, vol. 84(1), pages 229-264, April.
- Murthi, B. P. S. & Choi, Yoon K. & Desai, Preyas, 1997. "Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach," European Journal of Operational Research, Elsevier, vol. 98(2), pages 408-418, April.
- Lozano, Sebastián & Gutiérrez, Ester, 2008. "Data envelopment analysis of mutual funds based on second-order stochastic dominance," European Journal of Operational Research, Elsevier, vol. 189(1), pages 230-244, August.
- 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.
- W. Ogryczak & A. Ruszczynski, 1997.
"From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures,"
ir97027, International Institute for Applied Systems Analysis.
- Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999. "From stochastic dominance to mean-risk models: Semideviations as risk measures," European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July.
- Briec, Walter & Kerstens, Kristiaan, 2009. "Multi-horizon Markowitz portfolio performance appraisals: A general approach," Omega, Elsevier, vol. 37(1), pages 50-62, February.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- X. M. Gonzalez & D. Miles, 2002. "Statistical precision of DEA: a bootstrap application to Spanish public services," Applied Economics Letters, Taylor & Francis Journals, vol. 9(2), pages 127-132.
- Kao, Chiang & Liu, Shiang-Tai, 2009. "Stochastic data envelopment analysis in measuring the efficiency of Taiwan commercial banks," European Journal of Operational Research, Elsevier, vol. 196(1), pages 312-322, July.
- Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2008. "UK mutual fund performance: Skill or luck?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 613-634, September.
- G Souza & M Souza & E Gomes, 2011. "Computing confidence intervals for output-oriented DEA models: an application to agricultural research in Brazil," Journal of the Operational Research Society, Palgrave Macmillan, vol. 62(10), pages 1844-1850, October.
- Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(2), pages 309-332, May.
- Mickael Lothgren & Magnus Tambour, 1999. "Testing scale efficiency in DEA models: a bootstrapping approach," Applied Economics, Taylor & Francis Journals, vol. 31(10), pages 1231-1237.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:223:y:2012:i:3:p:834-841. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.