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Performance measurement and best-practice benchmarking of mutual funds: combining stochastic dominance criteria with data envelopment analysis
16 references·2 citing·27 second hop
Performance measurement and best-practice benchmarking of mutual funds: combining stochastic dominance criteria with data envelopment analysis (2007)Performance measurement and best-practice…Statistical Inference in Nonparametric Frontier Models: The State of the Art (2000)Statistical Inference in Nonp…Sensitivity Analysis of Efficiency Scores: How to Bootstrap in Nonparametric Frontier Models (1998)Sensitivity Analysis of Effic…Profit, Directional Distance Functions, and Nerlovian Efficiency (1998)Profit, Directional Distance …Efficiency of financial institutions: International survey and directions for future research (1997)Efficiency of financial insti…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Procedure for Ranking Efficient Units in Data Envelopment Analysis (1993)A Procedure for Ranking Effic…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Stochastic Dominance and Expe…Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions (1985)Foundations of data envelopme…Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis (1984)Some Models for Estimating Te…Production Frontiers and Panel Data (1984)Production Frontiers and Pane…Measuring the efficiency of decision making units (1978)Measuring the efficiency of d…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Measurement of Productive Efficiency (1957)The Measurement of Productive…Cross-vessel eco-efficiency analysis. A case study for purse seining fishing from North Portugal targeting European pilchard (2015)Cross-vessel eco-efficiency a…On the informativeness of persistence for evaluating mutual fund performance using partial frontiers (2013)On the informativeness of per…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Risk, Return, and Equilibrium: Empirical Tests (1973)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)General competitive analysis (1971)A slacks-based measure of efficiency in data envelopment analysis (2001)Theory of Cost and Production Functions (2015)Measuring the technical efficiency of production (1978)A slacks-based measure of super-efficiency in data envelopment analysis (2002)Estimation and inference in two-stage, semi-parametric models of production processes (2005)Data envelopment analysis (DEA) – Thirty years on (2008)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Industry Structure, Market Rivalry, and Public Policy (1973)Inside the black box: What explains differences in the efficiencies of financial institutions? (1997)The consolidation of the financial services industry: Causes, consequences, and implications for the future (1999)Bank regulation and supervision: what works best? (2003)Formulation and estimation of stochastic frontier production function models (1977)
this work references cited by second hop

References

  • 1978Measuring the efficiency of decision making units29,914 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1984Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis16,854 cited
  • 1957The Measurement of Productive Efficiency16,699 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19645,313 cited
  • 1993A Procedure for Ranking Efficient Units in Data Envelopment Analysis3,696 cited
  • 1997Efficiency of financial institutions: International survey and directions for future research3,510 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1998Sensitivity Analysis of Efficiency Scores: How to Bootstrap in Nonparametric Frontier Models2,261 cited
  • 1985Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions1,718 cited
  • 1984Production Frontiers and Panel Data1,584 cited
  • 1998Profit, Directional Distance Functions, and Nerlovian Efficiency1,167 cited
  • 2000Statistical Inference in Nonparametric Frontier Models: The State of the Art1,053 cited
  • 1973Studies in the Theory of Capital Markets.

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  • 1992Stochastic Dominance and Expected Utility: Survey and Analysis843 cited
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    • 2013On the informativeness of persistence for evaluating mutual fund performance using partial frontiers30 cited
    • 2015Cross-vessel eco-efficiency analysis. A case study for purse seining fishing from North Portugal targeting European pilchard30 cited