Mutual fund performance evaluation: a value efficiency analysis approach

Mutual fund performance evaluation: a value efficiency analysis approach
دوره: 
۷
شماره: 
۳,۴
شماره صفحه (از - تا): 
۲۳۶-۲۸۰
چکیده

Data envelopment analysis (DEA) is an efficient tool for evaluating mutual fund performance.‎ It is important for investors to select the best funds for investment.‎ In evaluation of mutual fund performance, besides quantitative elements, there are many qualitative elements that are of importance to the investors.‎ In this paper, value efficiency analysis (VEA) was used in mutual funds performance evaluation to incorporate the investor’s judgments about qualitative elements into the evaluation.‎ Also, the results of this approach were compared with those of general DEA models.‎ This approach is based on choosing convenient variables (inputs and outputs) by reviewing the past studies.‎ Then the input/output data are analysed using the concept of value efficiency, a novel procedure for incorporating the decision maker’s preferences into DEA via the most preferred solution ‪(MPS)‬.‎

استناد: 

Khedmatgozar, Hamid Reza, Abolfazl Kazemi, and Payam Hanafizadeh.‎ 2013.‎ Mutual fund performance evaluation: a value efficiency analysis approach.‎ International Journal of Electronic Finance ۷ (۳,۴): ۲۶۳-۲۸۰.

مقاله ادواری علمی
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