Efficiency tests for mutual fund portfolios

Applied Financial Economics

Volumn 13, Issue 12, 2003, Pages 869-876

  Sengupta, Jati K ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EFFICIENCY MEASUREMENT; EQUITY; PERFORMANCE ASSESSMENT;

EID: 0345414702     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100210161992     Document Type: Article

References (12)

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3. Ippolito, R. A. (1989) Efficiency with costly information: a study of mutual fund performance: 1965-84, Quarterly Journal of Economics, 104, 1-23.
4. Levy, H. (1998) Stochastic Dominance, Kluwer, Boston, MA.
5. March, J. G. (1999) Learning to be risk averse, The Pursuit of Organizational Intelligence (Ed.) J. G. March, Blackwell Publishers, Oxford.
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7. Sengupta, J. K. (1989) A dynamic view of the portfolio efficiency frontier, Computers and Mathematics, 18, 565-80.
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9. Sengupta, J. K. (1996) Adjustment costs in mean variance efficiency analysis, International Journal of Systems Science, 27, 551-59.
10. Sengupta, J. K. (2000) Stochastic and Dynamic Efficiency Analysis: Economics of Data Envelopment Analysis, World Scientific Publishers, Singapore.
11. Sengupta, J. K. and Park, H. S. (1993) Portfolio efficiency tests based on stochastic dominance and cointegration, International Journal of Systems Science, 24, 2135-58.
12. Tobin, J. (1965) The theory of portfolio selection, in Theory of Interest Rates (Eds) F. Hahn and F. Brechling, Macmillan, New York.