A novel robust network data envelopment analysis approach for performance assessment of mutual funds under uncertainty

Abstract Mutual fund (MF) is one of the applicable and popular tools in investment market. The aim this paper to propose an approach for performance evaluation mutual by considering internal structure financial data uncertainty. To reach goal, robust network envelopment analysis (RNDEA) presented extended two-stage structure. In RNDEA method, leader–follower (non-cooperative game) optimization approaches are applied order modeling (NDEA) dealing with uncertainty, respectively. proposed implemented assessment 15 funds. Illustrative results show that method effective ranking MFs presence uncertain data. Also, reveal discriminatory power NDEA more than deterministic models.