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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/14796

Title: Resampling DEA estimates of investment fund performance
Authors: Lamb, John D.
Tee, Kai-Hong
Keywords: Data envelopment analysis
Investment fund
Issue Date: 2012
Publisher: © Elsevier
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
Abstract: 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.
Description: 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
Version: Submitted for publication
DOI: 10.1016/j.ejor.2012.07.015
URI: https://dspace.lboro.ac.uk/2134/14796
Publisher Link: http://dx.doi.org/10.1016/j.ejor.2012.07.015
ISSN: 0377-2217
Appears in Collections:Published Articles (Business School)

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