resampled DEA.pdf (318.26 kB)
0/0

Resampling DEA estimates of investment fund performance

Download (318.26 kB)
journal contribution
posted on 09.06.2014 by John D. Lamb, Kai-Hong Tee
Data envelopment analysis (DEA) is attractive for comparing investment funds because it handles different characteristics of fund distribution and gives a way to rank funds. There is substantial literature applying DEA to funds, based on the time series of funds' returns. This article looks at the issue of uncertainty in the resulting DEA efficiency estimates, investigating consistency and bias. It uses the bootstrap to develop stochastic DEA models for funds, derive confidence intervals and develop techniques to compare and rank funds and represent the ranking. It investigates how to deal with autocorrelation in the time series and considers models that deal with correlation in the funds' returns. © 2012 Elsevier B.V. All rights reserved.

History

School

  • Business and Economics

Department

  • Business

Citation

LAMB, J.D. and TEE, K.-H., 2012. Resampling DEA estimates of investment fund performance. European Journal of Operational Research, 223 (3), pp. 834 - 841

Publisher

© Elsevier

Version

SMUR (Submitted Manuscript Under Review)

Publication date

2012

Notes

This article was submitted for publication in the serial European Journal of Operational Research [© Elsevier]. The definitive version is available at:http://dx.doi.org/10.1016/j.ejor.2012.07.015

ISSN

0377-2217

Language

en

Exports

Logo branding

Exports