Next Article in Journal
Payoff Distribution in a Multi-Company Extraction Game with Uncertain Duration
Next Article in Special Issue
A New Approach for the Black–Scholes Model with Linear and Nonlinear Volatilities
Previous Article in Journal
Higher Order Hamiltonian Systems with Generalized Legendre Transformation
Previous Article in Special Issue
Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio
Article

Introducing Weights Restrictions in Data Envelopment Analysis Models for Mutual Funds

by 1,*,† and 2,†
1
Department of Economics, Ca’ Foscari University of Venice, Cannaregio 873, 30121 Venice, Italy
2
Department of Management, Ca’ Foscari University of Venice, Cannaregio 873, 30121 Venice, Italy
*
Author to whom correspondence should be addressed.
These authors contributed equally to this work.
Mathematics 2018, 6(9), 164; https://doi.org/10.3390/math6090164
Received: 14 August 2018 / Revised: 1 September 2018 / Accepted: 3 September 2018 / Published: 10 September 2018
(This article belongs to the Special Issue Financial Mathematics)
Data envelopment analysis has been applied in a number of papers to measure the performance of mutual funds, besides a great many applications on the more diverse fields of performance evaluation. The data envelopment analysis models proposed in the mutual funds literature do not generally set restrictions on the weights assigned to the input and output variables. In this paper, we study the effects of the introduction of different weight restrictions on the results of the performance evaluation of mutual funds. In addition, we provide a unified matrix representation for three widely used approaches on weight restrictions: virtual weight restrictions with constraints on all decision-making units (DMUs) (on all funds); virtual weight restrictions with constraints only on the target unit; assurance regions. Using the unified matrix representation of the weights constraints, we formulate the data envelopment analysis (DEA ) efficiency model and express the efficient frontier in a unified way for the different weight restrictions considered. We investigate the effects of the different weight restrictions on the performance evaluation by means of an empirical application on a set of European mutual funds. Moreover, we study the behaviour of the fund performance scores as the restrictions on the weights become increasingly strict. View Full-Text
Keywords: mutual fund performance evaluation; data envelopment analysis (DEA); virtual weight restrictions; assurance regions mutual fund performance evaluation; data envelopment analysis (DEA); virtual weight restrictions; assurance regions
Show Figures

Figure 1

MDPI and ACS Style

Basso, A.; Funari, S. Introducing Weights Restrictions in Data Envelopment Analysis Models for Mutual Funds. Mathematics 2018, 6, 164. https://doi.org/10.3390/math6090164

AMA Style

Basso A, Funari S. Introducing Weights Restrictions in Data Envelopment Analysis Models for Mutual Funds. Mathematics. 2018; 6(9):164. https://doi.org/10.3390/math6090164

Chicago/Turabian Style

Basso, Antonella, and Stefania Funari. 2018. "Introducing Weights Restrictions in Data Envelopment Analysis Models for Mutual Funds" Mathematics 6, no. 9: 164. https://doi.org/10.3390/math6090164

Find Other Styles
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