Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/87150
Title: Performance evaluation of Portuguese mutual fund portfolios using the value-based DEA method
Authors: Gouveia, Maria do Castelo Batista 
Neves, Elisabete Duarte
Dias, Luís Cândido 
Antunes, Carlos Henggeler 
Keywords: Data Envelopment Analysis; Multicriteria Decision Analysis; Finance; Equity; Funds; Uncertainty
Issue Date: 2018
Project: POCI-01-0145-FEDER-006971 
Serial title, monograph or event: Journal of the Operational Research Society
Volume: 69
Issue: 10
Abstract: The increased volatility in capital markets since the outbreak of the 2008 global financial crisis and the investor´s lack of confidence in the banking sector represented significant challenges to portfolio fund managers. The current study assesses the performance of Portuguese mutual fund portfolios considering the period 2007-2014 using the Value-Based DEA method. This approach combines Data Envelopment Analysis (DEA) with Multiple Criteria Decision Aiding (MCDA). A dynamic evaluation including value judgements is carried out using data from 15 Portuguese equity funds. The results unveil the impact of the global crisis in the Portuguese investment funds industry. They show that Portuguese investment funds performed better between 2011 and 2013; this suggests that equity funds investors became more confident in these vehicles due to political measures reinforcing financial markets. The methodology followed in this study contributes to help investors in the identification of the funds with the best practices according to their judgments.
Description: This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of the Operational Research Society on [date of publication2018], available online: http://www.tandfonline.com/doi/full/10.1057/s41274-017-0259-7
URI: http://hdl.handle.net/10316/87150
DOI: 10.1057/s41274-017-0259-7
Rights: openAccess
Appears in Collections:I&D CeBER - Artigos em Revistas Internacionais

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