Efficiency Assessment of Mutual Fund With Risk and Negative Data: An Improved Two-Stage Network SBM Model

IF 2.5 3区经济学 Q2 ECONOMICS

Managerial and Decision Economics Pub Date : 2024-12-16 DOI:10.1002/mde.4464

Xiao Shi, Zhuo Pei, Xinle Liu

引用次数: 0

Abstract

This paper innovatively proposes an improved two-stage network SBM model, which could handle negative data and incorporates the CVaR indicator representing risks in efficiency evaluation. The proposed approach is utilized to evaluate and analyze the overall efficiency and two subsystems' efficiencies of 29 mutual funds in China from 2018 to 2022. Empirical results demonstrate that both operational management efficiency and portfolio management efficiency significantly impact overall efficiency. Funds exhibiting excellent performance in operational management subsystem are more likely to achieve outstanding overall performance. Based on the empirical results, some policy recommendations are proposed.

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具有风险和负数据的共同基金效率评估：一个改进的两阶段网络SBM模型

本文创新性地提出了一种改进的两阶段网络SBM模型，该模型可以处理负数据，并在效率评价中加入了代表风险的CVaR指标。利用该方法对2018 - 2022年中国29家共同基金的整体效率和两个子系统效率进行了评估和分析。实证结果表明，运营管理效率和投资组合管理效率对整体效率都有显著影响。运营管理子系统表现优异的基金更有可能取得优异的整体业绩。在实证结果的基础上，提出了政策建议。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Managerial and Decision Economics Multiple-

CiteScore

1.40

自引率

18.20%

发文量

242

期刊介绍： Managerial and Decision Economics will publish articles applying economic reasoning to managerial decision-making and management strategy.Management strategy concerns practical decisions that managers face about how to compete, how to succeed, and how to organize to achieve their goals. Economic thinking and analysis provides a critical foundation for strategic decision-making across a variety of dimensions. For example, economic insights may help in determining which activities to outsource and which to perfom internally. They can help unravel questions regarding what drives performance differences among firms and what allows these differences to persist. They can contribute to an appreciation of how industries, organizations, and capabilities evolve.