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Evaluating fund performance by compromise programming with linear-quadratic composite metric: an actual case of the CaixaBank in Spain

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Evaluating fund performance by compromise programming with linear-quadratic composite metric: an actual case of the CaixaBank in Spain

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dc.contributor.author Bravo Sellés, Milagros es_ES
dc.contributor.author Ballestero Pareja, Enrique es_ES
dc.contributor.author Pla Santamaría, David es_ES
dc.date.accessioned 2015-03-24T18:26:22Z
dc.date.available 2015-03-24T18:26:22Z
dc.date.issued 2012-09
dc.identifier.uri http://hdl.handle.net/10251/48248
dc.description.abstract This paper proposes an additive measure on the basis of compromise programming to evaluate fund performance from multiple criteria, of which the most usual are profitability and risk. This proposal is motivated by the fact that compromise programming is a sound decision support model to obtain scores of alternatives by minimizing weighted distances to an ideal point, the weights reflecting the investor’s preferences for the criteria. To define the distance objective function, the linear-quadratic composite metric is used, which combines advantages of linear and non-linear objective functions. A critical advantage of compromise programming for fund performance evaluation is that the model can be extended to more than two financial criteria while other measures currently used (either ratio-based or leverage-based measures) only consider two criteria, say, profitability and risk. In the application, three investor’s profiles are defined, which involve different weighting systems and lead to different fund rankings. These rankings are compared with domination relationships, the latter formulating if a fund is dominated or non-dominated by convex combinations of other funds. Numerical tables are provided with data, computational process and results, which are analysed. Copyright © 2012 John Wiley & Sons, Ltd. es_ES
dc.language Inglés es_ES
dc.publisher Wiley-Blackwell es_ES
dc.relation.ispartof Journal of Multi-Criteria Decision Analysis es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Fund Performance
dc.subject Compromise programming
dc.subject Additive measures
dc.subject Ranking
dc.subject Domination
dc.subject.classification ECONOMIA APLICADA es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title Evaluating fund performance by compromise programming with linear-quadratic composite metric: an actual case of the CaixaBank in Spain es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1002/MCDA.1474
dc.rights.accessRights Cerrado es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials es_ES
dc.description.bibliographicCitation Bravo Selles, M.; Ballestero Pareja, E.; Pla Santamaría, D. (2012). Evaluating fund performance by compromise programming with linear-quadratic composite metric: an actual case of the CaixaBank in Spain. Journal of Multi-Criteria Decision Analysis. 19(5-6):247-255. doi:10.1002/MCDA.1474 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://onlinelibrary.wiley.com/doi/10.1002/mcda.1474/abstract es_ES
dc.description.upvformatpinicio 247 es_ES
dc.description.upvformatpfin 255 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 19 es_ES
dc.description.issue 5-6 es_ES
dc.relation.senia 237635
dc.identifier.eissn 1099-1360
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