Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach

Carla Henriques, Maria Elisabete Neves, Licínio Castelão and Duc Khuong Nguyen
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Maria Elisabete Neves: Coimbra Business Research Centre|ISCAC
Licínio Castelão: Coimbra Business Research Centre|ISCAC

Annals of Operations Research, 2022, vol. 313, issue 1, No 14, 366 pages

Abstract: Abstract This paper proposes a two-step approach to build portfolio models. The first step employs the Data Envelopment Analysis (DEA) to select assets attaining efficient financial performance according to a set of indicators used as inputs and outputs. The second step builds interval multiobjective portfolio models to obtain the optimal composition of efficient portfolios previously identified with respect to investor preferences. The usefulness of this proposed methodology is illustrated through a selected sample of diversified Exchange Traded Funds (ETFs) operating in the US energy sector. Our results with respect to all models and time horizons mainly show that: (i) ETFs related to nuclear energy are more often viewed as efficient according to all DEA models considered; (ii) the efficient portfolios do not contain any ETFs related to the renewable energy sector; and (iii) natural gas and oil are the sectors that have the most ETFs represented in efficient portfolios.

Keywords: ETF; DEA; Multi-objective portfolio models; Energy sector (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s10479-021-04323-6

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