The efficiency of investment fund management: an applied stochastic frontier model

Walter Briec () and Jean-Baptiste Lesourd
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Walter Briec: UPVD - Université de Perpignan Via Domitia
Jean-Baptiste Lesourd: AMU ECO - Aix-Marseille Université - Faculté d'économie et de gestion - AMU - Aix Marseille Université

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Abstract: This paper aims at developing a new method for measuring efficiency with respect to a suitable frontier in portfolio management, based on a stochastic-frontier approach. This yields an index of performance of the managed portfolio with respect to the efficient frontier. The method provides a suitable endogenous benchmarlc for both diversified stock portfolios or investment funds. An application to perfonnance comparison of investment funds has been carned out on French SICA V invested in French securities. According to the efficiency of the indextracking funds, the CAC 40 stock marlcet index was found to coincide approximately with the endogenous benchmark calculated.

Date: 2000-01-01
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Published in Advances in quantitative asset management, pp.41-59, 2000

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05623402

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