In this paper we propose some models for the evaluation of the performance of mutual funds within a DEA approach that are able to tackle the problem of the presence of negative average rates of returns. The three models presented adjust some models previously proposed in the literature and regard a model that can be used for investments in mutual funds which have profitability as main objective and two models that are specifically formulated for ethical mutual funds. These two latter models include also the ethical objective among the outputs and differ in the way the ethical goal is pursued by investors. The models proposed are applied to the European market of ethical mutual funds. In order to do so, a measure of the ethical level which takes into account the main socially responsible features of each fund is built.

DEA models for ethical and non ethical mutual funds

BASSO, Antonella;FUNARI, Stefania
2008-01-01

Abstract

In this paper we propose some models for the evaluation of the performance of mutual funds within a DEA approach that are able to tackle the problem of the presence of negative average rates of returns. The three models presented adjust some models previously proposed in the literature and regard a model that can be used for investments in mutual funds which have profitability as main objective and two models that are specifically formulated for ethical mutual funds. These two latter models include also the ethical objective among the outputs and differ in the way the ethical goal is pursued by investors. The models proposed are applied to the European market of ethical mutual funds. In order to do so, a measure of the ethical level which takes into account the main socially responsible features of each fund is built.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/3629
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