教師資料查詢 | 類別: 期刊論文 | 教師: 林志娟 LIN JYH-JIUAN (瀏覽個人網頁)

標題:A comparison of usual indices and extended TOPSIS methods in mutual funds' performance evaluation
學年96
學期1
出版(發表)日期2007/12/01
作品名稱A comparison of usual indices and extended TOPSIS methods in mutual funds' performance evaluation
作品名稱(其他語言)
著者Lin, Jyh-jiuan; Chiang, Miao-chen; Chang, Ching-hui
單位淡江大學統計學系
出版者New Delhi: TARU Publications
著錄名稱、卷期、頁數Journal of Statistics &; Management Systems 10(6), pp.869-883
摘要The purpose of our study is to evaluate the performance of mutual funds. ‘Treynor Ratio’, ‘Sharpe Ratio’, ‘Information Ratio’ and ‘Jensen’s Alpha’ are four commonly used indices for evaluating the competing mutual funds. However, it is not clear which measure is the most robust. This paper not only focuses on investigating the four indices (criteria) separately but also combining all the indices at the same time in making a final ranking of the mutual funds. In this work, the extended TOPSIS with four objective weighing choices under Minkowski’s Lλ metric with λ=2 (Euclidean) distance measure are adopted for the multi-criteria decision making. The aforementioned four usual indices and the extended TOPSIS with four choices of weight methods are then applied to evaluate the performance of 82 Taiwanese mutual funds for 34 consecutive months. Roughly speaking, all the indices perform pretty well in terms of Spearman’s rank correlation coefficient. Although multicriteria methods are not noticeably more accurate than uni-criteria methods, but it offers an alternative to whom wants to take all four criteria into consideration simultaneously.
關鍵字multiple criteria analysis; mutual fund; performance evaluation; TOPSIS
語言英文
ISSN0972-0510
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別印度
公開徵稿
出版型式紙本
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