Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach
This paper proposes a two-step approach to build portfolio models. The first step employs the Data Envelopment Analysis (DEA) to select assets attaining efficient financial performance according to a set of indicators used as inputs and outputs. The second step builds interval multiobjective portfol...
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| Veröffentlicht in: | Annals of operations research Jg. 313; H. 1; S. 341 - 366 |
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| Format: | Journal Article |
| Sprache: | Englisch |
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01.06.2022
Springer Springer Nature B.V |
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| ISSN: | 0254-5330, 1572-9338 |
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| Abstract | This paper proposes a two-step approach to build portfolio models. The first step employs the Data Envelopment Analysis (DEA) to select assets attaining efficient financial performance according to a set of indicators used as inputs and outputs. The second step builds interval multiobjective portfolio models to obtain the optimal composition of efficient portfolios previously identified with respect to investor preferences. The usefulness of this proposed methodology is illustrated through a selected sample of diversified Exchange Traded Funds (ETFs) operating in the US energy sector. Our results with respect to all models and time horizons mainly show that: (i) ETFs related to nuclear energy are more often viewed as efficient according to all DEA models considered; (ii) the efficient portfolios do not contain any ETFs related to the renewable energy sector; and (iii) natural gas and oil are the sectors that have the most ETFs represented in efficient portfolios. |
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| AbstractList | This paper proposes a two-step approach to build portfolio models. The first step employs the Data Envelopment Analysis (DEA) to select assets attaining efficient financial performance according to a set of indicators used as inputs and outputs. The second step builds interval multiobjective portfolio models to obtain the optimal composition of efficient portfolios previously identified with respect to investor preferences. The usefulness of this proposed methodology is illustrated through a selected sample of diversified Exchange Traded Funds (ETFs) operating in the US energy sector. Our results with respect to all models and time horizons mainly show that: (i) ETFs related to nuclear energy are more often viewed as efficient according to all DEA models considered; (ii) the efficient portfolios do not contain any ETFs related to the renewable energy sector; and (iii) natural gas and oil are the sectors that have the most ETFs represented in efficient portfolios. This paper proposes a two-step approach to build portfolio models. The first step employs the Data Envelopment Analysis (DEA) to select assets attaining efficient financial performance according to a set of indicators used as inputs and outputs. The second step builds interval multiobjective portfolio models to obtain the optimal composition of efficient portfolios previously identified with respect to investor preferences. The usefulness of this proposed methodology is illustrated through a selected sample of diversified Exchange Traded Funds (ETFs) operating in the US energy sector. Our results with respect to all models and time horizons mainly show that: (i) ETFs related to nuclear energy are more often viewed as efficient according to all DEA models considered; (ii) the efficient portfolios do not contain any ETFs related to the renewable energy sector; and (iii) natural gas and oil are the sectors that have the most ETFs represented in efficient portfolios. The online version contains supplementary material available at 10.1007/s10479-021-04323-6. This paper proposes a two-step approach to build portfolio models. The first step employs the Data Envelopment Analysis (DEA) to select assets attaining efficient financial performance according to a set of indicators used as inputs and outputs. The second step builds interval multiobjective portfolio models to obtain the optimal composition of efficient portfolios previously identified with respect to investor preferences. The usefulness of this proposed methodology is illustrated through a selected sample of diversified Exchange Traded Funds (ETFs) operating in the US energy sector. Our results with respect to all models and time horizons mainly show that: (i) ETFs related to nuclear energy are more often viewed as efficient according to all DEA models considered; (ii) the efficient portfolios do not contain any ETFs related to the renewable energy sector; and (iii) natural gas and oil are the sectors that have the most ETFs represented in efficient portfolios.This paper proposes a two-step approach to build portfolio models. The first step employs the Data Envelopment Analysis (DEA) to select assets attaining efficient financial performance according to a set of indicators used as inputs and outputs. The second step builds interval multiobjective portfolio models to obtain the optimal composition of efficient portfolios previously identified with respect to investor preferences. The usefulness of this proposed methodology is illustrated through a selected sample of diversified Exchange Traded Funds (ETFs) operating in the US energy sector. Our results with respect to all models and time horizons mainly show that: (i) ETFs related to nuclear energy are more often viewed as efficient according to all DEA models considered; (ii) the efficient portfolios do not contain any ETFs related to the renewable energy sector; and (iii) natural gas and oil are the sectors that have the most ETFs represented in efficient portfolios.The online version contains supplementary material available at 10.1007/s10479-021-04323-6.Supplementary InformationThe online version contains supplementary material available at 10.1007/s10479-021-04323-6. |
| Audience | Academic |
| Author | Henriques, Carla Oliveira Castelão, Licínio Neves, Maria Elisabete Nguyen, Duc Khuong |
| Author_xml | – sequence: 1 givenname: Carla Oliveira orcidid: 0000-0003-4045-6101 surname: Henriques fullname: Henriques, Carla Oliveira email: chenriques@iscac.pt organization: Polytechnic of Coimbra, Coimbra Business Research Centre|ISCAC, INESC Coimbra - DEEC, University of Coimbra, Faculty of Economics, CeBER, University of Coimbra – sequence: 2 givenname: Maria Elisabete orcidid: 0000-0002-6250-1113 surname: Neves fullname: Neves, Maria Elisabete organization: Polytechnic of Coimbra, Coimbra Business Research Centre|ISCAC, University of Trás-Os-Montes and Alto Douro|CETRAD – sequence: 3 givenname: Licínio surname: Castelão fullname: Castelão, Licínio organization: Polytechnic of Coimbra, Coimbra Business Research Centre|ISCAC – sequence: 4 givenname: Duc Khuong orcidid: 0000-0002-7796-8787 surname: Nguyen fullname: Nguyen, Duc Khuong organization: IPAG Business School, International School, Vietnam National University |
| BackLink | https://www.ncbi.nlm.nih.gov/pubmed/35095151$$D View this record in MEDLINE/PubMed |
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| CitedBy_id | crossref_primary_10_1371_journal_pone_0321370 crossref_primary_10_1016_j_eap_2023_05_002 crossref_primary_10_3390_ijfs12010020 crossref_primary_10_1016_j_eneco_2025_108487 crossref_primary_10_3390_jrfm15070318 crossref_primary_10_1007_s10479_022_04723_2 crossref_primary_10_1007_s10479_024_06142_x crossref_primary_10_3390_world6010008 crossref_primary_10_1007_s11123_023_00689_w crossref_primary_10_1007_s00181_025_02793_2 crossref_primary_10_47934_tife_12_02_04 crossref_primary_10_1016_j_omega_2024_103107 crossref_primary_10_3390_jrfm16020130 crossref_primary_10_1007_s12063_022_00331_2 crossref_primary_10_1007_s12351_023_00749_x crossref_primary_10_1007_s10479_023_05811_7 crossref_primary_10_3390_ijfs12010004 |
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| ContentType | Journal Article |
| Copyright | The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021. COPYRIGHT 2022 Springer Copyright Springer Nature B.V. Jun 2022 |
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| Keywords | Energy sector DEA ETF Multi-objective portfolio models |
| Language | English |
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| SubjectTerms | Analysis Business and Management Combinatorics Data envelopment analysis Economic aspects Energy industry Exchange traded funds Linear programming Literature reviews Mathematical programming Methods Multiple objective analysis Natural gas industry Nuclear energy Nuclear reactors Operations research Operations Research/Decision Theory Optimization Original - OR Modeling/Case Study Portfolio management Theory of Computation |
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| Title | Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach |
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