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

See all articles by John D. Lamb

John D. Lamb

University of Aberdeen - Business School

Kai-Hong Tee

Loughborough University - School of Business and Economics

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

Suggested Citation

Lamb, John D. and Tee, Kai-Hong, Resampling Data Envelopment Analysis (DEA) Estimates of Investment Fund Performance (February 23, 2012). European Journal of Operational Research, 223(3), pp.834-841, Available at SSRN: https://ssrn.com/abstract=2010107 or http://dx.doi.org/10.2139/ssrn.2010107

John D. Lamb

University of Aberdeen - Business School ( email )

Edward Wright Building
Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom

Kai-Hong Tee (Contact Author)

Loughborough University - School of Business and Economics ( email )

Epinal Way
Leics LE11 3TU
Leicestershire
United Kingdom

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