A Survey On Investment Performance Appraisal Methods With Special Reference To Data Envelopment Analysis
Download full text from publisher
References listed on IDEAS
- Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January.
- Gong, Byeong-Ho & Sickles, Robin C., 1992.
"Finite sample evidence on the performance of stochastic frontiers and data envelopment analysis using panel data,"
Journal of Econometrics,
Elsevier, vol. 51(1-2), pages 259-284.
- Gong, Byeong-Ho & Sickles, Robin C., 1991. "Finite Sample Evidence on the Performance of Stochastic Frontiers and Data Envelopment Analysis Using Panel Data," Working Papers 91-12, C.V. Starr Center for Applied Economics, New York University.
- Athanassopoulos, Antreas D, 1998. "Nonparametric Frontier Models for Assessing the Market and Cost Efficiency of Large-Scale Bank Branch Networks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(2), pages 172-192, May.
- Adler, Nicole & Golany, Boaz, 2001. "Evaluation of deregulated airline networks using data envelopment analysis combined with principal component analysis with an application to Western Europe," European Journal of Operational Research, Elsevier, vol. 132(2), pages 260-273, July.
- William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119-119.
- John Whiteman, 1999. "The Potential Benefits of Hilmer and Related Reforms: Electricity Supply," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 32(1), pages 17-30.
- Varian, Hal R., 1990. "Goodness-of-fit in optimizing models," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 125-140.
- Berger, Allen N. & Humphrey, David B., 1997.
"Efficiency of financial institutions: International survey and directions for future research,"
European Journal of Operational Research,
Elsevier, vol. 98(2), pages 175-212, April.
- Allen N. Berger & David B. Humphrey, 1997. "Efficiency of financial institutions: international survey and directions for future research," Finance and Economics Discussion Series 1997-11, Board of Governors of the Federal Reserve System (U.S.).
- Allen N. Berger & David B. Humphrey, 1997. "Efficiency of Financial Institutions: International Survey and Directions for Future Research," Center for Financial Institutions Working Papers 97-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Rajiv D. Banker & Robert F. Conrad & Robert P. Strauss, 1986. "A Comparative Application of Data Envelopment Analysis and Translog Methods: An Illustrative Study of Hospital Production," Management Science, INFORMS, vol. 32(1), pages 30-44, January.
- Parkan, Celik, 1987. "Measuring the efficiency of service operations: An application to bank branches," Engineering Costs and Production Economics, Elsevier, vol. 12(1-4), pages 237-242, July.
- Charnes, A. & Cooper, W. W. & Rhodes, E., 1978. "Measuring the efficiency of decision making units," European Journal of Operational Research, Elsevier, vol. 2(6), pages 429-444, November.
- Andrew C. Worthington & Emily V. Hurley, 2000. "Technical, allocative and cost efficiency in the Australian general insurance industry," School of Economics and Finance Discussion Papers and Working Papers Series 074, School of Economics and Finance, Queensland University of Technology.
- Giokas, DI, 1991. "Bank branch operating efficiency: A comparative application of DEA and the loglinear model," Omega, Elsevier, vol. 19(6), pages 549-557.
- Banker, Rajiv D. & Gadh, Vandana M. & Gorr, Wilpen L., 1993. "A Monte Carlo comparison of two production frontier estimation methods: Corrected ordinary least squares and data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 67(3), pages 332-343, June.
- A. Charnes & W. W. Cooper & E. Rhodes, 1981. "Evaluating Program and Managerial Efficiency: An Application of Data Envelopment Analysis to Program Follow Through," Management Science, INFORMS, vol. 27(6), pages 668-697, June.
- 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.
- Oral, Muhittin & Yolalan, Reha, 1990. "An empirical study on measuring operating efficiency and profitability of bank branches," European Journal of Operational Research, Elsevier, vol. 46(3), pages 282-294, June.
- Lewin, Arie Y & Morey, Richard C & Cook, Thomas J, 1982. "Evaluating the administrative efficiency of courts," Omega, Elsevier, vol. 10(4), pages 401-411.
- O. B. Olesen & N. C. Petersen, 1995. "Chance Constrained Efficiency Evaluation," Management Science, INFORMS, vol. 41(3), pages 442-457, March.
- Bjurek, Hans & Hjalmarsson, Lennart & Forsund, Finn R., 1990. "Deterministic parametric and nonparametric estimation of efficiency in service production : A comparison," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 213-227.
- R. D. Banker & A. Charnes & W. W. Cooper, 1984. "Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis," Management Science, INFORMS, vol. 30(9), pages 1078-1092, September.
- John Ruggiero & Donald F. Vitaliano, 1999. "Assessing The Efficiency Of Public Schools Using Data Envelopment Analysis And Frontier Regression," Contemporary Economic Policy, Western Economic Association International, vol. 17(3), pages 321-331, July.
- Thompson, Russell G. & Langemeier, Larry N. & Lee, Chih-Tah & Lee, Euntaik & Thrall, Robert M., 1990. "The role of multiplier bounds in efficiency analysis with application to Kansas farming," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 93-108.
- Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
- Fare, Rolf & Grosskopf, Shawna & Logan, James, 1983. "The relative efficiency of Illinois electric utilities," Resources and Energy, Elsevier, vol. 5(4), pages 349-367, December.
- Charnes, A. & Cooper, W. W., 1980. "Auditing and accounting for program efficiency and management efficiency in not-for-profit entities," Accounting, Organizations and Society, Elsevier, vol. 5(1), pages 87-107, January.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tofallis, Chris, 2008. "Investment volatility: A critique of standard beta estimation and a simple way forward," European Journal of Operational Research, Elsevier, vol. 187(3), pages 1358-1367, June.
- Don Galagedera, 2010. "Association between environmental factors and equity market performance: evidence from a nonparametric frontier method," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(3), pages 245-269, September.
- Chris Tofallis, 2011. "Investment Volatility: A Critique of Standard Beta Estimation and a Simple Way Forward," Papers 1109.4422, arXiv.org.
More about this item
KeywordsInvestment performance appraisal; data envelopment analysis;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0406013. 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: (EconWPA). General contact details of provider: http://econwpa.repec.org .