Performance measurement and best-practice benchmarking of mutual funds: combining stochastic dominance criteria with data envelopment analysis

被引：12

作者：

Kuosmanen, Timo ^{[1
]}

机构：

[1] MTT Agrifood Res Finland, Econ Res Unit, Helsinki 00410, Finland

来源：

JOURNAL OF PRODUCTIVITY ANALYSIS | 2007年 / 28卷 / 1-2期

关键词：

activity analysis; diversification; fund management; portfolio choice; risk management;

D O I：

10.1007/s11123-007-0045-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose a method for mutual fund performance measurement and best-practice benchmarking, which endogenously identifies a dominating benchmark portfolio for each evaluated mutual fund. Dominating benchmarks provide information about efficiency improvement potential as well as portfolio strategies for achieving them. Portfolio diversification possibilities are accounts for by using Data Envelopment Analysis (DEA). Portfolio risk is accounted for in terms of the full return distribution by utilizing Stochastic Dominance (SD) criteria. The approach is illustrated by an application to US based environmentally responsible mutual funds.

引用

页码：71 / 86

页数：16

共 12 条

[1] Performance measurement and best-practice benchmarking of mutual funds: combining stochastic dominance criteria with data envelopment analysis
Timo Kuosmanen
Journal of Productivity Analysis, 2007, 28 : 71 - 86
[2] Data envelopment analysis of mutual funds based on second-order stochastic dominance
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EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2008, 189 (01) : 230 - 244
[3] Performance measurement of hedge funds using data envelopment analysis
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[6] Canadian Socially Responsible Investment Mutual Funds Performance Evaluation Using Data Envelopment Analysis
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[7] A novel robust network data envelopment analysis approach for performance assessment of mutual funds under uncertainty
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ANNALS OF OPERATIONS RESEARCH, 2024, 339 (03) : 1149 - 1175
[8] Performance Measurement with Stochastic Data Envelopment Analysis: Comparative Analysis of Turkish Electricity Distribution Companies
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JOURNAL OF POLYTECHNIC-POLITEKNIK DERGISI, 2021, 24 (01): : 87 - 101
[9] Productivity Measurement with Data Envelopment Analysis and Stochastic Frontier Analysis: A Review Article on Measurement of Productivity and Efficiency: Theory and Practice
Balk, Bert M.
INTERNATIONAL PRODUCTIVITY MONITOR, 2021, 40 : 134 - 139
[10] Benchmarking and Fvaluating the I-Ificiency of Mass Transit Systems Based on Best Practice Using Data Envelopment Analysis
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2019 PORTLAND INTERNATIONAL CONFERENCE ON MANAGEMENT OF ENGINEERING AND TECHNOLOGY (PICMET), 2019,

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