Resampling Data Envelopment Analysis (DEA) Estimates of Investment Fund Performance
European Journal of Operational Research, 223(3), pp.834-841
14 Pages Posted: 24 Feb 2012 Last revised: 26 Dec 2012
Date Written: February 23, 2012
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 using sample Hedge 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.
Keywords: data envelopment analysis, bootstrap, investment fund, rank, bias
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