DEA models for ethical and non ethical mutual funds with negative data

This paper tackles the problem of the presence of negative average rates of returns in the evaluation of the performance of mutual funds using a DEA approach. We present some extensions of DEA models for the evaluation of the performance of mutual funds that enable to compute the performance measure also in the presence of negative rates of returns. These extensions regard a model that can be used for investments in mutual funds which have profitability as main objective and two models specifically formulated for ethical mutual funds that include also the ethical objective among the outputs and differ in the way the ethical goal is pursued by investors. The models proposed are applied to the European market of ethical mutual funds. In order to do so, a measure of the ethical level which takes into account the main socially responsible features of each fund is built.

Relative performance of SRI equity funds: An analysis of European funds using Data Envelopment Analysis

The main aims of this contribution are first to analyse the ethical level of European socially responsible investment (SRI) funds, secondly to measure the overall performance of the European SRI mutual funds with an appropriate data envelopment analysis (DEA) model and, finally, to investigate the relationship between the ethical level of mutual funds and their financial performance. In order to do so, we build an ethical measure, based on the main socially responsible features usually taken into account by SRI mutual funds, which evaluate their ethical strategies. In the time period of economic recession considered in the analysis, the triennium June 2006-June 2009, the mean returns of most mutual funds are negative, preventing the usual DEA models from being applied. In order to overcome this difficulty, we apply a special modification of these DEA models which can be used regardless of the phase of business cycle.performance evaluation; SRI mutual funds; data envelopment analysis.

Performance evaluation of ethical mutual funds in slump periods

In this paper we tackle the problem of the presence of negative average rate of returns in the computation of the performance of ethical mutual funds. The presence of these negative values raises problems both in the computation of the classical performance indicators and in DEA modeling. In this paper we propose a suitably adjusted DEA model which allows the presence of non negative outputs. The model is applied to data on the UK market of ethical mutual funds.Performance evaluation, ethical mutual funds, data envelopment analysis

Leading advertisers efficiency evaluated by data envelopment analysis

In this paper we analyze the problem of measuring the advertising efficiency of the Leading US Advertisers during the period 2001-2006. We use the DEA (Data Envelopment Analysis) approach that enables to evaluate the relative efficiency in case of multiple inputs and outputs. In particular, the classical CCR-DEA model is first implemented in each year considered; a windows analysis approach is then used in order to better capture the dynamics of efficiency. Finally, the effect on efficiency of advertising spending over time, is captured by Adstock as an additional variable of the DEA model. The dynamics of Adstock is described by a finite difference equation.

A three-system approach that integrates DEA, BSC, and AHP for museum evaluation

This paper proposes to measure the museums performance with amodel that combines the Data Envelopment Analysis (DEA) and Balanced Scorecard (BSC) methodologies with a third method, the analytic hierarchy process (AHP), which is often used to support decision making. Starting from the two-stage DEA–BSC model of Basso et al. (Omega Int J Manag Sci 81:67–84, 2018), which integrates DEA and BSC, we explore the advantages to consider also the AHP methodology, with the aim to include the judgement of some museums’ experts on the relative importance of the BSC perspectives in the performance evaluation model. A first approach uses directly the AHP priorities derived from the judgements expressed by the museums’ experts interviewed to determine the weights to aggregate the four BSC performance scores into an overall performance indicator. A second approach uses the judgments of the museums’ experts indirectly to introduce proper restrictions on the output weights of the second-stage DEA model. With this approach, we overcome the problem arising from the dispersion of the preferences within the group of experts, that may heavily affects the first approach. Both approaches proposed in this contribution are applied to the case study of the municipal museums of Venice

DEA-BSC and Diamond Performance to Support Museum Management

In the present paper, we propose some models for the computation of an overall indicator which measures the performance of a set of museums from a multidimensional point of view. One of the most used methodologies that provide a multiple input–multiple output performance score is Data Envelopment Analysis (DEA), which in recent years has also been applied to museums. Recently, the literature on museums performance has proposed a model that combines DEA with the Balanced Scorecard (BSC) approach, which is used in the management control of organisations and focuses on a multidimensional framework based on four different dimensions of the organisation management. In the present contribution, we propose a two-stage DEA-BSC model which adopts more plain DEA models without weight restrictions and can be better understood by museums’ managers. In addition, in order to overcome the drawback of the low discriminatory power shown by this model when applied to a few museums, we propose some alternative ways to compute the overall performance at the second stage. One indicator computes the area of a special geometric representation of the efficiency scores obtained at the first stage for the four BSC perspectives and for this reason is named diamond efficiency. Finally, the models proposed are applied to the set of municipal museums of Venice

A fuzzy-based scoring rule for author ranking

The measurement of the quality of research has reached nowadays an increasing interest not only for scientific reasons but also for the critical problem of researchers' ranking, due to the lack of grant assignments. The most commonly used approach is based on the so-called $h$-index, even if the current literature debated a lot about its pros and cons. This paper, after a brief review of the $h$-index and of alternative models, focuses on the characterization and the implementation of a modified scoring rule approach by means of a fuzzy inference system a là Sugeno.Research evaluation, bibliometrics, author ranking, $h$-index, scoring rules, fuzzy inference system.

A fractional optimal control problem for maximizing advertising efficiency

We propose an optimal control problem to model the dynamics of the communication activity of a firm with the aim of maximizing its efficiency. We assume that the advertising effort undertaken by the firm contributes to increase the firm's goodwill and that the goodwill affects the firm's sales. The aim is to find the advertising policies in order to maximize the firm's efficiency index which is computed as the ratio between "outputs" and "inputs" properly weighted; the outputs are represented by the final level of goodwill and by the sales achieved by the firm during the period considered, whereas the inputs are represented by the costs undertaken by the firm, fixed costs and advertising costs. The problem considered is formulated as a fractional optimal control problem. In order to find the optimal advertising policies we use the Dinkelbach's algorithm for fractional programming.

Socially responsible mutual funds: An efficiency comparison among the European countries

The first objective of this contribution is to evaluate the performance of SRI equity mutual funds in the main European countries with three different DEA models. Secondly, with a series of statistical tests we compare the performance of SRI and non SRI mutual funds in the various countries, to determine if SRI mutual funds have to sacrifice something in terms of financial performance. Thirdly, we compare the performance obtained by SRI mutual funds among the different European countries

PSO-based tuning of MURAME parameters for creditworthiness evaluation of Italian SMEs

In this work we use a MultiCriteria Decision Analysis (MCDA) model to evalu- ate the creditworthiness of a sample of Italian Small and Medium-sized Enterprises (SMEs), on the basis of their balance sheet data provided by the AIDA database. Our methodology is able to consider simultaneously different factors affecting the firms’ solvency level, and can produce results in terms of scoring, classification into homogeneous rating classes and migration probabilities. In this contribution we compare the results obtained considering two scenarios. On one hand, we experience an exogenous specification of the parameters that describe the preference structure implicit in the used MCDA model. On the other hand, we consider the results obtained using a preference disaggregation method to endogenously determine some of the model parameters. Because of the complexity of the obtained math- ematical programming problem, we use an heuristic methodology, namely Particle Swarm Optimization (PSO), which provides a reasonable compromise between the quality of the solution and the computational burden