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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Vydáno v:Annals of operations research Ročník 313; číslo 1; s. 341 - 366
Hlavní autoři: Henriques, Carla Oliveira, Neves, Maria Elisabete, Castelão, Licínio, Nguyen, Duc Khuong
Médium: Journal Article
Jazyk:angličtina
Vydáno: New York Springer US 01.06.2022
Springer
Springer Nature B.V
Témata:
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
Portugal
Energy sector
DEA
ETF
Multi-objective portfolio models
ISSN:0254-5330, 1572-9338
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Shrnutí: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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ISSN:0254-5330
1572-9338
DOI:10.1007/s10479-021-04323-6