TAILIEUCHUNG - Data Envelopment Analysis Models of Investment Funds

This paper develops theory missing in the sizeable literature that uses data envelopment analysis to construct return : risk ratios for investment funds. It explores the production possibility set of the investment funds to identify an appropriate form of returns to scale. It discusses what risk and return measures can justifiably be combined and how to deal with negative risks, and identifies suitable sets of measures. It identifies the problems of failing to deal with diversification and develops an iterative approximation procedure to deal with it. It identifies relationships between diversification, coherent measures of risk and stochastic dominance. It shows how the iterative procedure makes a practical difference. | ISSN 0143-4543 14 9 5 University of Aberdeen Business Schoo Data Envelopment Analysis Models of Investment Funds By John D. Lamb and Kai-Hong Tee Discussion Paper 2010-01 August 2010 Editor Dr W David McCausland business Data envelopment analysis models of investment funds John D. Lamb University of Aberdeen Business School Aberdeen AB24 3QY Kai-Hong Tee Loughborough University Business School Loughborough LE11 3TU This paper develops theory missing in the sizeable literature that uses data envelopment analysis to construct return risk ratios for investment funds. It explores the production possibility set of the investment funds to identify an appropriate form of returns to scale. It discusses what risk and return measures can justifiably be combined and how to deal with negative risks and identifies suitable sets of measures. It identifies the problems of failing to deal with diversification and develops an iterative approximation procedure to deal with it. It identifies relationships between diversification coherent measures of risk and stochastic dominance. It shows how the iterative procedure makes a practical difference using monthly returns of 30 hedge funds over the same time period. It discusses possible shortcomings of the procedure and offers directions for future research. DATA ENVELOPMENT ANALYSIS INVESTMENT FUND DIVERSIFICATION COHERENT RISK MEASURE RETURNS TO SCALE STOCHASTIC DOMINANCE I Introduction Data envelopment analysis dea is a method for estimating the technical efficiency of several decision-making units DMUs given several inputs and several outputs. Typically the efficiency can be written in the form weighted sum of outputs weighted sum of inputs 1 In contrast to other methods of estimating technical efficiency DEA does not use fixed weights. Instead it chooses the best nonnegative weights for each DMU subject to the constraint that given those weights no DMU has efficiency greater than 100 . Thus DEA gives nonsubjective .

• Quỹ đầu tư
• Swarm Optimization
• Economic Dispatch Applications
• Decomposition Approach
• Longitudinal Data
• Using MATLAB
• Educational Simulator
• Optimization of hole making operations for injection mould
• Particle swarm optimization algorithm
• Hole making operations for injection mould
• Developed particle swarm optimization
• Hole making operations
• Particle swarm optimization
• A mechanism to recover from knee injury
• Applying particle swarm optimization
• The Particle Swarm Optimization technique
• Meta heuristic technique
• Particle Swarm Optimization and prototype
• Hybrid improved bacterial swarm optimization algorithm in hand
• Hybrid improved bacterial swarm optimization algorithm
• Multimodal biometric authentication system
• Bacterial Foraging Optimization
• The minimization of Equal Error Rate
• Hybrid Improved Bacterial Swarm
• International Journal of Computer Networks and Communications Security
• Hybrid invasive weed optimization algorithm
• Chicken swarm optimization algorithm
• Solve global optimization problems
• The invasive weed optimization
• Journal of Automation and Control Engineering
• Stock price forecasting
• Support vector machines and improved particle Swarm optimization
• Support vector machines
• Improved via Genetic Algorithm
• Nuclear engineering and technology
• On the Particle Swarm Optimization
• Cask shielding design
• Prototype Sodium cooled Fast Reactor
• The Particle Swarm Optimization
• The air cooling space
• Modified discrete particle swarm optimization algorithm
• Quadratic assignment problems
• Swarm optimization algorithms
• Solve some benchmark instances
• Quadratic assignment problem
• Flexible Manufacturing System Memetic Algorithm
• Modified Memetic Particle Swarm Optimization
• Multi Load AGVs
• Particle Swarm Optimization Scheduling
• Automated guided vehicles
• Information and communication technology
• Multi objective swarm intelligence optimization algorithms
• Multi objective swarm intelligence
• Multi objective optimization
• State of the art MOSI algorithms
• Compute method of analog circuit fault diagnosis
• Via particle swarm optimization
• Formulate multivariate polynomial equations
• Solving nonlinear multivariable equations
• Multivariable Particle Swarm Optimization
• Hybrid cat swarm optimization
• Simulated annealing for dynamic task scheduling
• Cloud computing environment
• The proposed CSMCSOSA algorithm
• Enhance the SA
• Cloud Scalable Multi Objective Cat Swarm Optimization
• Teaching Learning Based
• Optimization Particle Swarm Optimization
• Minimum zone circle
• Least square circle
• Minimum circumscribed circle
• Binary Particle
• Electric Machines
• SW Partitioning
• Swarm Optimizer
• Electronic Engineering
• Crossover thought
• Dynamic performance
• Fuzzy control thought
• Improved fuzzy particle swarm optimization
• Water turbine regulating system
• Chaotic Rough
• Particle Swarm
• Optimization Algorithms
• Real Value
• Attribute Discretization
• Attribute Reduction
• Automatic Cost Estimation
• Tree Edit Distance
• báo cáo khoa học
• báo cáo ngôn ngữ
• xử lý ngôn ngữ tự nhiên
• Electrical discharge machining
• Support vector machine
• The EDM Process
• Modeling of EDM responses
• Stochastic weight trade off particle swarm optimization
• Optimal power flow
• Stochastic weight trade off
• Enhancing search its search ability
• Optimal robotic assembly sequence generation
• Robot directional changes
• Inverse kinematics of multi joint robot
• Simulated annealing algorithm
• Multi joint robot
• Kanban based assembly line feeding system through integration
• Simulation and particle swarm optimization
• The design of the system
• The trade off between kanban size
• Support solving the problem
• Short term hydrothermal scheduling
• Quantum behaved particle swarm optimization
• Chaotic local search
• Constrains handling
• BMC Bioinformatics
• Flexible ligand docking
• Search algorithms
• Random drift particle swarm optimization
• Diversity control strategy
• Solis and Wets local search
• Autodock software
• Ancestral genome inference
• Genome arrangement
• Discrete optimization
• Gene expression
• Decision tree classifier
• Analyzed gene
• Microarray data