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    題名: A comparison of usual indices and extended TOPSIS methods in mutual funds' performance evaluation
    作者: Lin, Jyh-jiuan;Chiang, Miao-chen;Chang, Ching-hui
    貢獻者: 淡江大學統計學系
    關鍵詞: multiple criteria analysis;mutual fund;performance evaluation;TOPSIS
    日期: 2007-12-01
    上傳時間: 2009-11-30 12:57:50 (UTC+8)
    出版者: New Delhi: TARU Publications
    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.
    關聯: Journal of Statistics & Management Systems 10(6), pp.869-883
    DOI: 10.1080/09720510.2007.10701289
    顯示於類別:[統計學系暨研究所] 期刊論文

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