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Title: Data envelopment analysis models of investment funds
Authors: Lamb, John D.
Tee, Kai-Hong
Keywords: Data envelopment analysis
Investment fund
Diversification
Coherent risk measure
Returns to scale
Stochastic dominance
Issue Date: 2012
Publisher: © Elsevier
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 - 696
Abstract: 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.
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.2011.08.019
Version: Submitted for publication
DOI: 10.1016/j.ejor.2011.08.019
URI: https://dspace.lboro.ac.uk/2134/14797
Publisher Link: http://dx.doi.org/10.1016/j.ejor.2011.08.019
ISSN: 0377-2217
Appears in Collections:Published Articles (Business School)

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