An Improved DEA Prospect Cross-Efficiency Evaluation Method and Its Application in Fund Performance Analysis

It is well known that a traditional data envelopment analysis (DEA) cross-efficiency evaluation model assumes that the decision-makers are completely rational, which causes the evaluation results to be inconsistent with the actual situation. To remedy this, in this paper, we propose an improved DEA prospect cross-efficiency evaluation method called EPCE model. The EPCE model captures the risk attitude of decision-makers and retains the decision information in the evaluation process. In particular, this new approach generates a more practical, realistic weighting scheme to measure the cross-efficiency and provides a reliable technique for ordering the decision-making units (DMUs) from the perspective of multi-criteria decision analysis. Finally, to demonstrate the validity and reliability of the proposed approach, we show an empirical analysis of mutual fund investment selection from Chinese fund market.