Lozano, Sebastián; Gutiérrez, Ester - In: European Journal of Operational Research 189 (2008) 1, pp. 230-244
Although data envelopment analysis (DEA) has been extensively used to assess the performance of mutual funds (MF), most of the approaches overestimate the risk associated to the endogenous benchmark portfolio. This is because in the conventional DEA technology the risk of the target portfolio is...