Author: Gregoriou, Greg N

Source: Journal of Asset Management, Volume 6, Number 6, 1 March 2006 , pp. 445-455(11)

Publisher: Palgrave Macmillan

Abstract:

The relative efficiency and inefficiencies of the largest 25 US stock, bond and balanced funds is assessed using an operational research optimisation technique called data envelopment analysis. Using basic, cross- and super-efficiency models, the funds are compared with their peer funds by means of various inputs and outputs. From a practitioner's point of view, selecting mutual funds can be an arduous process because of the thousands of mutual funds available today, and the drawback of traditional regression methods may sometimes cause model misspecification and lead to incorrect conclusions.Journal of Asset Management (2006) 6, 445-455; doi:10.1057/palgrave.jam.2240194

Document Type: Research article

DOI: http://dx.doi.org/10.1057/palgrave.jam.2240194

Publication date: 2006-03-01

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