DEA Invt funds.pdf (351.19 kB)
Data envelopment analysis models of investment funds
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. © 2011 Elsevier B.V. All rights reserved.
History
School
- Business and Economics
Department
- Business
Citation
LAMB, J.D. and TEE, K.-H., 2012. Data envelopment analysis models of investment funds. European Journal of Operational Research, 216 (3), pp. 687 - 696Publisher
© 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.2011.08.019ISSN
0377-2217Publisher version
Language
- en