A Survey On Investment Performance Appraisal Methods With Special Reference To Data Envelopment Analysis
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.
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.:
- 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.
- 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.
- O. B. Olesen & N. C. Petersen, 1995. "Chance Constrained Efficiency Evaluation," Management Science, INFORMS, vol. 41(3), pages 442-457, March.
- Varian, Hal R., 1990. "Goodness-of-fit in optimizing models," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 125-140.
- 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.
- 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.
- 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.
- 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.
- 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.).
- 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," Center for Financial Institutions Working Papers 97-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
- 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.
- 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.
- 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.
- 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, 07.
- 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.
- Giokas, DI, 1991. "Bank branch operating efficiency: A comparative application of DEA and the loglinear model," Omega, Elsevier, vol. 19(6), pages 549-557.
- 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.
- William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
- 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 172-92, May.
- 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.
- 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.
- Lewin, Arie Y & Morey, Richard C & Cook, Thomas J, 1982. "Evaluating the administrative efficiency of courts," Omega, Elsevier, vol. 10(4), pages 401-411.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
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)
If references are entirely missing, you can add them using this form.