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A data envelopment analysis approach to measure the mutual fund performance
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A data envelopment analysis approach to measure the mutual fund performance (2001)A data envelopment analysis approach to m…How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…William W.Cooper,Lawrence M.Seiford,Kaoru Tone 著, DATA ENVELOPMENT ANALYSIS : A Comprehensive Text with Models, Applications, References and DEA-Solver Software, Kluwer Academic Publishers, 2000年, 318頁 (2002)William W.Cooper,Lawrence M.S…Data Envelopment Analysis: A Comprehensive Text with Models, Applications, References and DEA-Solver Software (2001)Data Envelopment Analysis: A …Data Envelopment Analysis: A Comprehensive Text with Models, Applications, References and DEA-Solver Software (1999)Data Envelopment Analysis: A …Data Envelopment Analysis: Theory, Methodology, and Applications (1994)Data Envelopment Analysis: Th…Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Stochastic Dominance and Expe…Applied data envelopment analysis (1991)Applied data envelopment anal…Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…Measuring the efficiency of decision making units (1978)Measuring the efficiency of d…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Mutual Fund Performance (1966)Mutual Fund PerformanceAspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Measuring the environmental performance of green SRI funds: A DEA approach (2018)Measuring the environmental p…DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure (2017)DEA frontier improvement and …A new network DEA model for mutual fund performance appraisal: An application to U.S. equity mutual funds (2017)A new network DEA model for m…Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds (2016)Data envelopment analysis in …Estimation of portfolio efficiency via DEA (2014)Estimation of portfolio effic…Determining the life cycle energy efficiency of six biofuel systems in China: A Data Envelopment Analysis (2014)Determining the life cycle en…On the comparative performance of socially responsible and Islamic mutual funds (2013)On the comparative performanc…Constant and variable returns to scale DEA models for socially responsible investment funds (2013)Constant and variable returns…Data envelopment analysis models of investment funds (2011)Data envelopment analysis mod…A performance evaluation model for international tourist hotels in Taiwan—An application of the relational network DEA (2009)A performance evaluation mode…Portfolio optimization of equity mutual funds with fuzzy return rates and risks (2008)Portfolio optimization of equ…Data envelopment analysis of mutual funds based on second-order stochastic dominance (2007)Data envelopment analysis of …Performance measurement of hedge funds using data envelopment analysis (2006)Performance measurement of he…Portfolio performance evaluation in a mean–variance–skewness framework (2005)Portfolio performance evaluat…Hedge fund performance appraisal using data envelopment analysis (2004)Hedge fund performance apprai…Measuring the performance of ethical mutual funds: a DEA approach (2003)Measuring the performance of …Separation of Ownership and Control (1983)A slacks-based measure of super-efficiency in data envelopment analysis (2002)Handbook of Quantitative Science and Technology Research (2005)Network DEA: A slacks-based measure approach (2008)The Measurement of Productive Efficiency (1957)Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis (1984)A Procedure for Ranking Efficient Units in Data Envelopment Analysis (1993)A slacks-based measure of efficiency in data envelopment analysis (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Handbook on Constructing Composite Indicators (2005)Efficiency decomposition in two-stage data envelopment analysis: An application to non-life insurance companies in Taiwan (2007)Data envelopment analysis (DEA) – Thirty years on (2008)A survey of DEA applications (2012)Public spending and green economic growth in BRI region: Mediating role of green finance (2021)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)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)The arbitrage theory of capital asset pricing (1976)
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References

  • 1978Measuring the efficiency of decision making units29,755 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1999Data Envelopment Analysis: A Comprehensive Text with Models, Applications, References and DEA-Solver Software3,754 cited
  • 1994Data Envelopment Analysis: Theory, Methodology, and Applications2,873 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 2001Data Envelopment Analysis: A Comprehensive Text with Models, Applications, References and DEA-Solver Software1,713 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1991Applied data envelopment analysis972 cited
  • 2002William W.Cooper,Lawrence M.Seiford,Kaoru Tone 著, DATA ENVELOPMENT ANALYSIS : A Comprehensive Text with Models, Applications, References and DEA-Solver Software, Kluwer Academic Publishers, 2000年, 318頁

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913 cited
  • 1992Stochastic Dominance and Expected Utility: Survey and Analysis843 cited
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    • 2007Data envelopment analysis of mutual funds based on second-order stochastic dominance90 cited
    • 2008Portfolio optimization of equity mutual funds with fuzzy return rates and risks90 cited
    • 2017A new network DEA model for mutual fund performance appraisal: An application to U.S. equity mutual funds87 cited
    • 2014Estimation of portfolio efficiency via DEA83 cited
    • 2014Determining the life cycle energy efficiency of six biofuel systems in China: A Data Envelopment Analysis77 cited
    • 2011Data envelopment analysis models of investment funds77 cited
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    • 2006Performance measurement of hedge funds using data envelopment analysis73 cited
    • 2017DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure72 cited
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