A novel robust network data envelopment analysis approach for performance assessment of mutual funds under uncertainty

Pejman Peykani (), Ali Emrouznejad (), Emran Mohammadi () and Jafar Gheidar-Kheljani ()
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Pejman Peykani: Iran University of Science and Technology
Ali Emrouznejad: University of Surrey
Emran Mohammadi: Iran University of Science and Technology
Jafar Gheidar-Kheljani: Malek Ashtar University of Technology

Annals of Operations Research, 2024, vol. 339, issue 3, No 4, 1149-1175

Abstract: Abstract Mutual fund (MF) is one of the applicable and popular tools in investment market. The aim of this paper is to propose an approach for performance evaluation of mutual fund by considering internal structure and financial data uncertainty. To reach this goal, the robust network data envelopment analysis (RNDEA) is presented for extended two-stage structure. In the RNDEA method, leader–follower (non-cooperative game) and robust optimization approaches are applied in order to modeling network data envelopment analysis (NDEA) and dealing with uncertainty, respectively. The proposed RNDEA approach is implemented for performance assessment of 15 mutual funds. Illustrative results show that presented method is applicable and effective for performance evaluation and ranking of MFs in the presence of uncertain data. Also, the results reveal that the discriminatory power of robust NDEA approach is more than the discriminatory power of deterministic NDEA models.

Keywords: Mutual fund; Network data envelopment analysis; Robust optimization; Extended two-stage structure; Uncertainty (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10479-022-04625-3

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