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Resampling DEA estimates of investment fund performance
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 - 841Publisher
© ElsevierVersion
- SMUR (Submitted Manuscript Under Review)
Publication date
2012Notes
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.2012.07.015ISSN
0377-2217Publisher version
Language
- en