Evaluating hedge fund and CTA performance : data envelopment analysis approach

Greg N. Gregoriou, Joe Zhu

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 constru

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Year of publication:	c2005
Authors:	Gregoriou, Greg N.
Other Persons:	Zhu, Joe (contributor)
Publisher:	Hoboken, N.J : J. Wiley
Subject:	Data-Envelopment-Analyse \| Data envelopment analysis \| Hedgefonds \| Hedge fund \| Investmentfonds \| Investment Fund \| Finanzanalyse \| Financial analysis \| Performance-Messung \| Performance measurement \| Hedging \| Portfolio-Management \| Portfolio selection
Description of contents:	Table of Contents [gbv.de]

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Extent:	Online-Ressource (viii, 167 p) ill 24 cm
Series:	Wiley Finance Ser ; v.279 Wiley finance series
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references (p. 155-158) and index Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach; Contents; 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 MODELSOLVING 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 IndexABOUT DEAFrontier; About the CD-ROM; DEAFrontier MICROSOFT EXCEL ADD-IN; SYSTEM REQUIREMENTS; USING THE CD WITH WINDOWS; WHAT'S ON THE CD; CUSTOMER NOTE: IF THIS BOOK IS ACCOMPANIED BY SOFTWARE, PLEASE READ THE FOLLOWING BEFORE OPENING THE PACKAGE.; ABOUT THE AUTHORS Electronic reproduction; Available via World Wide Web
ISBN:	0-471-68185-7 ; 978-0-471-68185-4
Source:	ECONIS - Online Catalogue of the ZBW

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