Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach

Measuring the performance of ethical mutual funds: a DEA approach

The ethical constraints forced on an investment fund satisfy the fulfilment of humanitarian aims but may lower the investment profitability. Hence, when we measure the performance of ethical mutual funds we cannot disregard the ethical component. In this contribution we propose a performance indicator which considers the expected return, the investment risk, the ethical component and the subscr...

Mutual Funds Performance Appraisal Using a Multicriteria Decision Making Approach

This paper proposes an alternative mutual funds performance evaluation measure in the context of multicriteria decision making. Fund performance evaluation has been the topic of numerous studies for the last four decades with controversial results. We implement an original methodology on Greek domestic equity funds for the period 2000–2009. Employing a unique dataset of risk adjusted returns su...

Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios∗

We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be confirmed by comparing the return autocorrelations of funds with shorter vs. longer redemption-notice periods. We also document significant positive return-autocorrelation in portfolios of securities t...

Mutual Funds in Equilibrium∗

Historically, the literature on money management has not consistently applied the rational expectations equilibrium concept. We explain why and summarize recent developments in the money management literature that do apply this concept correctly. We demonstrate that in many respects the rational expectations equilibrium better approximates the observed equilibrium in the money management space ...

Mutual Funds by Edwin