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

被引：0
|
作者：
Timo Kuosmanen
机构：
[1] MTT Agrifood Research Finland,Economic Research Unit
来源：
Journal of Productivity Analysis | 2007年 / 28卷
关键词：
Activity analysis; Diversification; Fund management; Portfolio choice; Risk management; G11; D81; C61;
D O I：
暂无
中图分类号：
学科分类号：
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
收藏
页码：71 / 86
页数：15
相关论文
共 12 条
12