Article ID: | iaor20083905 |
Country: | Netherlands |
Volume: | 175 |
Issue: | 1 |
Start Page Number: | 516 |
End Page Number: | 542 |
Publication Date: | Nov 2006 |
Journal: | European Journal of Operational Research |
Authors: | Simar Lopold, Daraio Cinzia |
Keywords: | programming: multiple criteria |
The topic of the measurement of mutual funds' performance is receiving an increasing interest both from an applied and a theoretical perspective. Beside the traditional financial literature, a growing body of studies has started to apply the tools of frontier analysis for benchmarking comparisons in portfolio analysis. Our paper contributes to this literature proposing a robust nonparametric approach for analysing mutual funds. It is based on the concept of order-