Nonparametric analysis of portfolio efficiency

Applied Economics Letters

Volumn 8, Issue 4, 2001, Pages 249-252

  Sengupta, Jati K ^a   Zohar, T ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 52449084826     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048501750103999     Document Type: Article

References (7)

1. Grossman, S. and Stiglitz, J. (1980) On the impossibility of informationally efficient markets, American Economic Review, 70, 393-408.
2. Ippolito, R. A. (1989) Efficiency with costly information: a study of mutual fund performance: 1965-84, Quarterly Journal of Economics, 104, 1-23.
3. Murthi, B., Choi, Y. and Desai, P. (1997) Efficiency of mutual funds and portfolio performance measurement: a nonparametric approach, European Journal of Operational Research, 98, 408-18.
4. Sengupta, J. K. (1989) Nonparametric tests of efficiency of portfolio investment, Journal of Economics, 20, 1-15.
5. Sengupta, J. K. (1991) Maximum probability dominance and portfolio theory, Journal of Optimization Theory and Applications, 71, 341-56.
6. Sengupta, J. K. (1995) Dynamics of Data Envelopment Analysis, Kluwer, Boston, MA.
7. Sengupta, J. K. (1996) Adjustment costs in mean variance efficiency analysis, International Journal of System Science, 27, 551-9.