Next Article in Journal
Reverse Engineering of Option Pricing: An AI Application
Previous Article in Journal
Financial Variables, Market Transactions, and Expectations as Functions of Risk
Open AccessArticle

Utility Exchange Traded Fund Performance Evaluation. A Comparative Approach Using Grey Relational Analysis and Data Envelopment Analysis Modelling

School of Applied Mathematical and Physical Science, National Technical University of Athens, 157 80 Athens, Greece
Int. J. Financial Stud. 2019, 7(4), 67; https://doi.org/10.3390/ijfs7040067
Received: 29 June 2019 / Revised: 11 October 2019 / Accepted: 22 October 2019 / Published: 4 November 2019
Selecting funds is a common problem for investors who use published available data on fund indicators while they are selecting the funds. Since this process deals with more than one indicator, the investing issue becomes multi-criteria decision-making (MCDM) problem for the investors. Therefore, the purpose of this paper is to propose an effective approach that integrates grey relational analysis (GRA) and data envelopment analysis (DEA) for selecting the best utility exchange traded funds (ETFs). The current study uses GRA for deriving the grade relational coefficients and then puts them in the output side of competing no-input DEA models to derive weighed grey relational grades. Moreover, the ETFs are also evaluated by selected DEA models. This research is implemented with real data on utility ETFs available for three consecutive years (2008–2010). The results show that the top ETFs identified by the GRA-DEA approach are also DEA efficient. The proposed GRA-DEA approach is superior to conventional DEA as regards the fund ranking and therefore, it seems to be effective as a picking fund tool. View Full-Text
Keywords: utility exchange traded funds; efficiency; grey relational analysis; data envelopment analysis; generalized proportional distance function utility exchange traded funds; efficiency; grey relational analysis; data envelopment analysis; generalized proportional distance function
MDPI and ACS Style

Tsolas, I.E. Utility Exchange Traded Fund Performance Evaluation. A Comparative Approach Using Grey Relational Analysis and Data Envelopment Analysis Modelling. Int. J. Financial Stud. 2019, 7, 67.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop