Hu, Jin-Li; Chang, Tzu-Pu; Chou, Ray - In: Journal of Productivity Analysis 41 (2014) 1, pp. 141-151
This paper investigates the non-monotonic and non-linear effect of diversification on mutual fund performance. We apply a frontier-based efficiency measure, the stochastic frontier approach, to estimate fund efficiency and the benefit of diversification. The empirical results indicate that...