Evaluating hedge fund and CTA performance : data envelopment analysis approach
著者
書誌事項
Evaluating hedge fund and CTA performance : data envelopment analysis approach
（Wiley finance series）
John Wiley & Sons, c2005
- : cloth
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注記
Includes bibliographical references (p. 155-158) and index
内容説明・目次
内容説明
Introducing Data Envelopment Analysis (DEA) ---- a quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commmodity trading advisors. Steep yourself in this approach with this important new book by Greg Gregoriou and Joe Zhu. "This book steps beyond the traditional trade--off between single variables for risk and return in the determination of investment portfolios. For the first time, a comprehensive procedure is presented to compose portfolios using multiple measures of risk and return simultaneously. This approach represents a watershed in portfolio construction techniques and is especially useful for hedge fund and CTA offerings." ---- Richard E. Oberuc, CEO, Burlington Hall Asset Management, Inc. Chairman, Foundation for Managed Derivatives Research Order your copy today!
目次
Preface. Acknowledgments. Chapter 1: Fund Selection and Data Envelopment Analysis. Introduction. Fund Selection. What Is Data Envelopment Analysis? Chapter 2: DEA Models. Introduction. DEA Model Calculation. Markowitz Model and Sharpe Ratio. Constant Returns--to--Scale DEA Model. Negative Data. DEAFrontier Excel Add--In. Solving DEA Model. Chapter 3: Classification Methods. Introduction. Returns--to--Scale Classification. Context--Dependent DEA. Chapter 4: Benchmarking Models. Introduction. Variable--Benchmark Model. Solving Variable--Benchmark Model. Fixed--Benchmark Model. Solving Fixed--Benchmark Model. Chapter 5: Data, Inputs, and Outputs. Description of Data. Methodology. Preparing the Data for DEAFrontier. Chapter 6: Application of Basic DEA Models. Introduction. Results. Conclusion. Chapter 7: Application of Returns--to--Scale. Introduction. Results. Conclusion. Chapter 8: Application of Context--Dependent DEA. Introduction. Results. Conclusion. Chapter 9: Application of Fixed-- and Variable--Benchmark Models. Introduction. Results. Conclusion. Chapter 10: Closing Remarks. References. Index. About the CD--Rom. About the Authors.
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