کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
482867 1446170 2008 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Data envelopment analysis of mutual funds based on second-order stochastic dominance
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Data envelopment analysis of mutual funds based on second-order stochastic dominance
چکیده انگلیسی

Although data envelopment analysis (DEA) has been extensively used to assess the performance of mutual funds (MF), most of the approaches overestimate the risk associated to the endogenous benchmark portfolio. This is because in the conventional DEA technology the risk of the target portfolio is computed as a linear combination of the risk of the assessed MF. This neglects the important effects of portfolio diversification. Other approaches based on mean–variance or mean–variance–skewness are non-linear. We propose to combine DEA with stochastic dominance criteria. Thus, in this paper, six distinct DEA-like linear programming (LP) models are proposed for computing relative efficiency scores consistent (in the sense of necessity) with second-order stochastic dominance (SSD). The aim is that, being SSD efficient, the obtained target portfolio should be an optimal benchmark for any rational risk-averse investor. The proposed models are compared with several related approaches from the literature.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 189, Issue 1, 16 August 2008, Pages 230–244
نویسندگان
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