DEA-based rating of pension fund managers (E.Fedorova, A.Didenko)

Authors develop DEA model for assessing investment performance and calculate quarterly efficiency scores for 46 fund managers from Russian Federation, covering period 2004–2012. Subsequent analysis shows that higher scores come through low net asset value, high level of risk premiums and low level of expected losses. Key impacts to efficiency change are the level of diversification, relative market value of assets, and the age of management company.

(Published in Russian in “Economic Analysis: Theory and Practice” 40 (391), p.48-57)


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