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Sinha, Ram Pratap
- Technical Efficiency of Indian Life Insurance Companies-A Bootstrap DEA Approach
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Authors
Affiliations
1 Government College of Engineering and Leather Technology, Kolkata, West Bengal, IN
1 Government College of Engineering and Leather Technology, Kolkata, West Bengal, IN
Source
International Journal of Financial Management, Vol 4, No 4 (2014), Pagination: 32-42Abstract
Since the Indian life insurance sector deregulated only recently, the number of players in the life insurance market is quite small and efficiency studies are based on a small set of observation. One way overcoming this small size problem is to perform bootstrap DEA. The present study, accordingly, compares the performance of the in-sample life insurance companies both on the basis of an original sample and its replications through bootstrap. The study also find out the upper and lower bounds of technical efficiency scores in the context of a 95% confidence interval.Keywords
Life Insurance, Bootstrap DEA, Confidence Interval.
References
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- Robust Benchmarking of Indian Mutual Funds-A Partial Frontier Approach
Abstract Views :220 |
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Authors
Affiliations
1 Government College of Engineering and Leather Technology, Salt Lake, Kolkata, West Bengal, IN
1 Government College of Engineering and Leather Technology, Salt Lake, Kolkata, West Bengal, IN
Source
International Journal of Financial Management, Vol 5, No 2 (2015), Pagination: 1-15Abstract
Performance analysis of mutual funds is usually made on the basis of return-risk framework. Traditionally, excess return (over risk-free rate) to risk ratios were used for the purpose mutual fund evaluation. Subsequently, the application of non-parametric mathematical programming techniques in the context of performance evaluation facilitated multi-criteria decision making. However,the estimates of performance on the basis of conventional programming techniques like DEA and FDH are affected by the presence of outliers in the sample observations. The present, accordingly uses more robust benchmarking techniques for evaluating the performance od sectoral mutual fund schemes based on observations for the second half of 2010. The USP of the present study is that it uses two partial frontier techniques (Order-m and Order-α) which are less susceptible to the problem of extreme data.Keywords
Mutual Fund, Robust Benchmarking, Order-M, Order-α, Partial Frontier Approach.- Portfolio Return, Risk and Market Timing:A Non-Parametric Approach
Abstract Views :189 |
PDF Views:0
Authors
Affiliations
1 Department of Economics, Krishnagar Government College, Krishnagar, Nadia, West Bengal, IN
2 Government College of Engineering & Leather Technology, Salt Lake, Kolkata, West Bengal, IN
1 Department of Economics, Krishnagar Government College, Krishnagar, Nadia, West Bengal, IN
2 Government College of Engineering & Leather Technology, Salt Lake, Kolkata, West Bengal, IN
Source
International Journal of Financial Management, Vol 5, No 2 (2015), Pagination: 16-30Abstract
The present study extends the portfolio evaluation framework provided by Sharpe (1964) and Treynor (1965) by including the parameter of market timing with the help of a non-parametric framework. Data envelopment analysis has been used in the present exercise to evaluate the performance 79 mutual funds schemes operating in India for three different phases using two different models. Estimation of technical efficiency on the basis of both the models suggests that period 2 performance is substantially divergent from period 1 and 3. Also, higher moments framework gives a better measure of performance as it accounts not only the standard risk measure but also for skewness and kurtosis characteristics of returns.Keywords
Mutual Funds, Market Timing, Higher Moments, Data Envelopment Analysis.- Benchmarking of Indian Sectoral Mutual Funds - A Non-Separable Undesirable Output Model
Abstract Views :202 |
PDF Views:0
Authors
Affiliations
1 Government College of Engineering and Leather Technology, Kolkata, West Bengal, IN
1 Government College of Engineering and Leather Technology, Kolkata, West Bengal, IN
Source
International Journal of Financial Management, Vol 6, No 4 (2016), Pagination: 42-53Abstract
Performance analysis of mutual funds is usually made on the basis of return-risk framework where return is considered an output indicator and risk is considered as an input indicator. However, portfolio risk in actuality is a non-separable undesirable output and any effort to reduce it also causes a reduction in portfolio return. In view of this, the present paper uses a non-parametric nonseparable undesirable output model to evaluate the performance of 27 sectoral mutual fund schemes based on observations for the period July 2010 to June 2013. The USP of the present study is that return and risk are considered as both non-separable outcome of the process of investment. The results exhibit stability of mean efficiency scores across the observed years. Further, fund inefficiency mostly emerged from the input side and not from the output side.Keywords
JEL Classification: C-61, D-21, G-23, Mutual Fund, Endogenous Benchmarking, DEA, Non-separability, Undesirable Output.References
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