頁籤選單縮合
題 名 | A Simulation Approach for Stochastic Data Envelopment Analysis |
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作 者 | Premachandra,I. M.; Powell,John G.; Watson,John; | 書刊名 | International Journal of Information and Management Sciences |
卷 期 | 11:1 2000.03[民89.03] |
頁 次 | 頁11-31 |
分類號 | 563.538 |
關鍵詞 | 隨機資料包絡分析法; 共同基金績效評估; Data envelopment analysis; Stochastic data envelopment analysis; Mutual fund performance evaluation; |
語 文 | 英文(English) |
英文摘要 | Data Envelopment Analysis (DEA) is widely used to analyze the relative efficiencies of decision making units (DMUs) of a similar nature. There are two important versions of DEA namely Deterministic Data Envelopment Analysis (DDEA) which deals with deterministic input output variables and Stochastic Data Envelopment Analysis (SDEA) which deals with the equaivalent stochastic case. Analytical tools based on chance constrained linear and nonlinear programmes have been proposed to incorporate stochastic variation of the input and output variables in the original DDEA model. This paper proposes a simulation approach to SDEA based on EXCEL/@RISK which produces important statistical information about the stochastic properties of the efficiency figure. The approach is illustrated by analyzing the relative performance of the largest United States equity mutual funds using historical data to identify significantly efficient and inefficient funds. This introduces to the portfolio performance evaluation literature an important and unique new tool for evaluating relative (as opposed to absolute) fund performance. |
本系統中英文摘要資訊取自各篇刊載內容。