TSD-consistent performance assessment of mutual funds

Journal of the Operational Research Society

Volumn 59, Issue 10, 2008, Pages 1352-1362

  Lozano, S ^a   Gutierrez E ^a  

^a UNIVERSITY OF SEVILLE   (Spain)

Author keywords

Data envelopment analysis; Lower partial moment; Mutual funds performance; Stochastic dominance; Target return

Indexed keywords

DATA ENVELOPMENT ANALYSIS; INVESTMENTS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

CONSISTENT PERFORMANCE; LOWER PARTIAL MOMENTS; MEAN VARIANCE; MUTUAL FUNDS; RELATIVE EFFICIENCY; RISK AVERSION; RISK MEASURES; STOCHASTIC DOMINANCE;

RISK ASSESSMENT;

EID: 51349118548     PISSN: 01605682     EISSN: 14769360     Source Type: Journal    
DOI: 10.1057/palgrave.jors.2602462     Document Type: Article

References (34)

1. Basso A and Funari S (2001). A data envelopment analysis approach to measure the mutual fund performance. Eur J Opl Res 135: 477-492.
2. Basso A and Funari S (2003). Measuring the performance of ethical mutual funds: A DEA approach. J Opi Res Soc 54: 521-531.
3. Basso A and Funari S (2005). A generalized performance attribution technique for mutual funds. Cent Eur j Opl Res 13: 65-84.
4. Bawa V (1975). Optimal rules for ordering uncertain prospects. J Finan Econ 2: 95-121.
5. Briec W, Kerstens K and Jokung O (2007). Mean-variance-skewness portfolio performance gauging: A general shortage function and dual approach. Mngt Sci 53: 135-149.
6. Briec W, Kerstens K and Lesourd JB (2004). Single-period Markowitz portfolio selection, performance gauging, and duality: A variation on the Luenberger shortage function. J Optimiz Theory Appl 120: 1-27.
7. Chambers RU, Chung Y and Fare R (1998). Profit, directional distance functions, and Nerlovian efficiency. J Optimiz Theory Appl 98: 351-364.
8. Chang KP (2004). Evaluating mutual fund performance: An application of minimum convex input requirement set approach. Comput Opl Res 31: 929-940.
9. Choi YK and Murthi BPS (2001). Relative performance evaluation of mutual funds: A non-parametric approach. J Bus Fin Account 28: 853-876.
10. Cooper WW, Salford LM and Tone K (2000). Data Envelopment Analysis: A Comprehensive Text with Models Applications References and DEA-Solver Software. Kluwer Academic Publishers: Boston.
11. Cooper WW, Seiford LM and Zhu J (2004). Handbook on Data Envelopment Analysis. Springer: New York.
12. Daraio C and Simar L (2006). A robust nonparametric approach to evaluate and explain the performance of mutual funds. Eur J Opl Res 175: 516-542.
13. Fishburn PC (1977). Mean-risk analysis with risk associated with below-target returns. Am Econ Rev 67: 116-126.
14. Galagedera DUA and Silvapulle P (2002). Australian mutual fund performance appraisal using data envelopment analysis. Manage Fin 28(9): 60-73.
15. Gregoriou GN, Rouah F, Satchell S and Diz F (2005a). Simple and cross efficiency of CTAs using data envelopment analysis. Eur J Finance 11: 393-409.
16. Gregoriou GN, Sedzro K and Zhu J (2005b). Hedge fund performance appraisal using data envelopment analysis. Eur J Opl Res 164: 555-571.
17. Haslem JA and Scheraga CA (2003). Data envelopment analysis of Morningstar's large-cap mutual funds. J Invest 12: 41-48.
18. Hogan WW and Warren JM (1972). Computation of the efficient boundary in the E-S portfolio selection model. J Financ Quant Anal 7: 1881-1896.
19. Holthausen DC (1981). A risk-return model with risk and return measured as deviations from a target return. Am Econ Rev 71: 182-188.
20. Joro T and Na P (2006). Portfolio performance evaluation in a mean-variance-skewness framework. Eur J Opl Res 175: 446-461.
21. Kimball MS (1990). Precautionary saving in the small and in the large. Econometrica 58: 53-73.
22. Kimball MS (1993). Standard risk aversion. Econometrica 61: 589-611.
23. Lozano S and Gutiérrez E (2007). Data envelopment analysis of mutual funds based on second-order stochastic dominance, Eur J Opl Res, doi:10.1016/j.ejor.2007.04.014
24. McMullen PR and Strong RA (1998). Selection of mutual funds using data envelopment analysis. J Bus Econ Stud 4: 1-12.
25. Morey MR and Morey RC (1999). Mutual fund performance appraisals: A multi-horizon perspective with endogenous benchmarking. Omega-Int J Mngt Sci 27: 241-258.
26. Murthi BPS, Choi YK and Desai P (1997). Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach. Eur J Opl Res 98: 408-418.
27. Ogryczak W and Ruszczyliski A (2001). On consistency of stochastic dominance and mean-semideviation models. Math Pm gram 89: 217-232.
28. Pratt JW (1964). Risk aversion in the small and in the large. Econometrica 32(1/2): 122-136.
29. Premachandra I, Powell JG and Shi J (1998). Measuring the relative efficiency of fund management strategies in New Zealand using a spreadsheet-based stochastic data envelopment analysis model. Omega - Int J Mngt 26: 319-331.
30. Thanassoulis E (2001). Intmduction to the Theory and Application of Data Envelopment Analysis: A Foundation Text With Integrated Software. Kluwer Academic Publishers: Norwell, MA.
31. Vickson RG and Altman M (1977). On the relative effectiveness of stochastic dominance rules: Extension to decreasingly risk-averse utility functions. J Financ Quant Anal 5: 799-811.
32. Whitmore GA (1970). Third-degree stochastic dominance. Am Econ Rev 60: 457-459.
33. Wilkens K and Zhu J (2001). Portfolio evaluation and benchmark selection: A mathematical programming approach. J Alternat Invest 4: 9-20.
34. Zhu J (2002). Quantitative Models for 'Performance Evaluation and Benchmarking: Data Envelopment Analysis with Spreadsheets and DEA Excel Solver. Springer: New York.