An Improved DEA Prospect Cross-Efficiency Evaluation Method and Its Application in Fund Performance Analysis

Yangxue Ning, Yan Zhang and Guoqiang Wang ()
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Yangxue Ning: School of Mathematics, Physics and Statistics, Shanghai University of Engineering Science, Shanghai 201620, China
Yan Zhang: School of Mathematics, Physics and Statistics, Shanghai University of Engineering Science, Shanghai 201620, China
Guoqiang Wang: School of Mathematics, Physics and Statistics, Shanghai University of Engineering Science, Shanghai 201620, China

Mathematics, 2023, vol. 11, issue 3, 1-15

Abstract: It is well known that a traditional data envelopment analysis (DEA) cross-efficiency evaluation model assumes that the decision-makers are completely rational, which causes the evaluation results to be inconsistent with the actual situation. To remedy this, in this paper, we propose an improved DEA prospect cross-efficiency evaluation method called EPCE model. The EPCE model captures the risk attitude of decision-makers and retains the decision information in the evaluation process. In particular, this new approach generates a more practical, realistic weighting scheme to measure the cross-efficiency and provides a reliable technique for ordering the decision-making units (DMUs) from the perspective of multi-criteria decision analysis. Finally, to demonstrate the validity and reliability of the proposed approach, we show an empirical analysis of mutual fund investment selection from Chinese fund market.

Keywords: data envelopment analysis; cross-efficiency; prospect theory; Shannon entropy; fund performance analysis (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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