期刊論文

標題 Domestic open-end equity mutual fund performance evaluation using extended TOPSIS method with different distance approaches
學年 98
學期 2
出版(發表)日期 2010/06/01
作品名稱 Domestic open-end equity mutual fund performance evaluation using extended TOPSIS method with different distance approaches
作品名稱(其他語言)
著者 Chang, Ching-Hui; Lin, Jyh-Jiuan; Lin, Jyh-Horng; Chiang, Miao-Chen
單位 淡江大學統計學系; 淡江大學國際貿易學系
出版者 Kidlington: Pergamon Press
著錄名稱、卷期、頁數 Expert Systems with Applications 37(6), pp.4642–4649
摘要 The most commonly used measures for evaluating the competing mutual funds are “Treynor Ratio”, “Sharpe Ratio” and “Jensen’s Alpha”. One also uses another measure called the “Information Ratio”. However, it is not clear which measure is the most robust. The purpose of our study is to evaluate the performance of mutual funds under the broad framework of multi-attribute decision analysis approach where each criterion can be taken into consideration in making a final ranking of the mutual funds. In this paper we adopt the concepts of “Ideal” and “Anti-Ideal” solutions as suggested by Hwang and Yoon (1981), and study the extended technique for order preference by similarity to the ideal solution (TOPSIS) method using two different “distance” ideas, namely – “Minkowski’s Lλ metric” and “Mahalanobis” distances. The broad framework with the two aforementioned distances is then applied to evaluate the performance of 82 Taiwanese mutual funds for consecutive 34 months. The empirical results show that using TOPSIS methods incorporated Minkowski’s distance measure to evaluate the mutual funds’ performance perform well.
關鍵字 Multiple criteria analysis; Mutual fund; Performance evaluation; TOPSIS
語言 英文
ISSN 0957-4174
期刊性質
收錄於 SCI
產學合作
通訊作者 Lin, Jyh-Jiuan
審稿制度
國別 英國
公開徵稿
出版型式 紙本