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Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach

Author

Listed:
  • Carla Oliveira Henriques

    (Coimbra Business Research Centre|ISCAC
    University of Coimbra
    University of Coimbra)

  • Maria Elisabete Neves

    (Coimbra Business Research Centre|ISCAC
    University of Trás-Os-Montes and Alto Douro|CETRAD)

  • Licínio Castelão

    (Coimbra Business Research Centre|ISCAC)

  • Duc Khuong Nguyen

    (IPAG Business School
    Vietnam National University)

Abstract

This paper proposes a two-step approach to build portfolio models. The first step employs the Data Envelopment Analysis (DEA) to select assets attaining efficient financial performance according to a set of indicators used as inputs and outputs. The second step builds interval multiobjective portfolio models to obtain the optimal composition of efficient portfolios previously identified with respect to investor preferences. The usefulness of this proposed methodology is illustrated through a selected sample of diversified Exchange Traded Funds (ETFs) operating in the US energy sector. Our results with respect to all models and time horizons mainly show that: (i) ETFs related to nuclear energy are more often viewed as efficient according to all DEA models considered; (ii) the efficient portfolios do not contain any ETFs related to the renewable energy sector; and (iii) natural gas and oil are the sectors that have the most ETFs represented in efficient portfolios.

Suggested Citation

  • Carla Oliveira Henriques & Maria Elisabete Neves & Licínio Castelão & Duc Khuong Nguyen, 2022. "Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach," Annals of Operations Research, Springer, vol. 313(1), pages 341-366, June.
    • Handle: RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04323-6
    DOI: 10.1007/s10479-021-04323-6
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    3. Rabin K. Jana & Aviral Kumar Tiwari & Shawkat Hammoudeh & Claudiu Albulescu, 2022. "Financial modeling, risk management of energy and environmental instruments and derivatives: past, present, and future," Annals of Operations Research, Springer, vol. 313(1), pages 1-7, June.
    4. Léopold Simar & Paul W. Wilson, 2023. "Another look at productivity growth in industrialized countries," Journal of Productivity Analysis, Springer, vol. 60(3), pages 257-272, December.

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