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University of New Orleans Theses and Dissertations
Mutual Funds, Performance, Data Envelop Analysis, Coskewness, Risk Factors, Real Returns, Consumption Bases Asset Pricing Models, Inflation
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Analysis Of Investment Strategies: A New Look At Investment Returns, Jose F. Rubio
Analysis Of Investment Strategies: A New Look At Investment Returns, Jose F. Rubio
University of New Orleans Theses and Dissertations
Chapter 1:
Intuition suggests that constraint investment strategies will result in losses due to a limited portfolio allocation. Yet prior research has shown that this is not the case for a particular set of constraint mutual funds so-called Socially Responsible Investing, SRI. In this paper I show that such assets do face loses to portfolio efficiency due to their limited asset universe. I contribute to the literature by employing two techniques to estimate asset performance. First, I estimate a DEA based efficiency score that allows for direct comparison between ex-post efficiency rankings and test the ex-ante relevance of such scores …