کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
480620 1446087 2012 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Data envelopment analysis models of investment funds
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Data envelopment analysis models of investment funds
چکیده انگلیسی

This paper develops theory missing in the sizable literature that uses data envelopment analysis to construct return–risk ratios for investment funds. It explores the production possibility set of the investment funds to identify an appropriate form of returns to scale. It discusses what risk and return measures can justifiably be combined and how to deal with negative risks, and identifies suitable sets of measures. It identifies the problems of failing to deal with diversification and develops an iterative approximation procedure to deal with it. It identifies relationships between diversification, coherent measures of risk and stochastic dominance. It shows how the iterative procedure makes a practical difference using monthly returns of 30 hedge funds over the same time period. It discusses possible shortcomings of the procedure and offers directions for future research.


► We investigate DEA models of investment funds.
► We show risk and return measures must be commensurable.
► We show how DEA relates to coherent measures of risk.
► We develop a method to handle diversification within DEA.
► We illustrate this method on hedge-fund data.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 216, Issue 3, 1 February 2012, Pages 687–696
نویسندگان
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