JOURNAL OF BEIJING UNIVERSITY OF POSTS AND TELECOM ›› 2018, Vol. 20 ›› Issue (5): 80-89.doi: 10.19722/j.cnki.1008-7729.2018.0100

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Dynamic Network DEA Approach to Performance Evaluation of Funds #br# Based on Direction Distance Function


  1. 1. School of Economics, Wuhan University of Technology, Wuhan 430070, China;
    2. School of Economics and Management, South China Normal University, Guangzhou 510006, China
  • Received:2018-05-04 Online:2018-10-31

Abstract: Data envelopment analysis (DEA) is a very useful approach to measure the efficiency of funds. A dynamic network DEA model based on the direction distance function is proposed to evaluate the performance of funds. Considering the fact that the duration of investment process may be medium-term or long-term, the net value of fund income, the conditional value at risk and standard deviation of the net value of fund income, and the fees of funds respectively are chosen as the metrics of the rate of return, risk, and costs of funds. Finally, the daily trading data are collected to calculate the efficiency value of funds, dividing them into five different sample intervals for the purpose of analyzing the causes of performance variation. Furthermore, the effectiveness of the model is illustrated through analyzing the value of inputs and outputs.

Key words: data envelopment analysis, network DEA, direction distance function, efficiency, performance evaluation

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