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Quantitative selection of hedge funds using data envelopment analysis
Nguyen-Thi-Thanh, Huyen - HAL - 2006
Previous studies have documented that Data Envelopment Analysis(DEA) could be a good tool to evaluate fund performance …,especially the performance of hedge funds as it can incorporatemultiple risk-return attributes characterizing hedge fund's nonnormal … return distribution in an unique performance score. Thepurpose of this paper is to extend the use of DEA to the contextof …
Persistent link: https://www.econbiz.de/10008791478
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On the Use of Data Envelopment Analysis in Hedge Fund Performance Appraisal
Nguyen-Thi-Thanh, Huyen - HAL - 2006
criteria decision-making tasks like assessing hedge fund performance. DEA has the merit of offering investors the possibility … criterion. By addressing main methodological issues regarding the use of DEA in evaluating hedge fund performance, this paper … attempts to provide investors sufficient guidelines for tailoring their own performance measure which reflect successfully …
Persistent link: https://www.econbiz.de/10008794389
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Hedge fund behavior: An ex-post analysis
Nguyen-Thi-Thanh, Huyen - HAL - 2004
This paper aims to analyze hedge fund index behavior over the 9-year period ranging from January 1994 to December 2002 with help of various statistical measures. The results indicate that hedge fund returns are not normally distributed and exhibit first order autocorrelation, a phenomenon known...
Persistent link: https://www.econbiz.de/10008793593
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Health Insurance Reform and Efficiency of Township Hospitals in Rural China: An Analysis from Survey Data
Audibert, Martine; Huang, Xiao Xian; Mathonnat, Jacky; … - HAL - 2012
In the rural health-care organization of China, township hospitals ensure the delivery of basic medical services. Particularly damaged by the economic reforms implemented from 1975 to the end of the 1990s, township hospitals efficiency is questioned, mainly with the implementation since 2003 of...
Persistent link: https://www.econbiz.de/10009001268
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Spectral risk measures and portfolio selection
Adam, Alexandre; Houkari, Mohamed; Laurent, Jean-Paul - HAL - 2007
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management...
Persistent link: https://www.econbiz.de/10008793539
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Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis
Kaffel, Rania Hentati; Peretti, Philippe De - HAL - 2014
In this paper, we use nonparametric runs-based tests to analyze the randomness of returns and the persistence of relative returns of hedge funds. Runs tests are implemented on a universe of hedge extracted from HFR database over the period spanning January 2000 to December 2012. Our findings...
Persistent link: https://www.econbiz.de/10011026186
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Faut-il corriger les rentabilités des hedge funds?
Nguyen-Thi-Thanh, Huyen; Gallais-Hamonno, Georges; … - HAL - 2008
la performance des fonds. Nos résultats suggèrent que le délissage a pour conséquence de modifier considérablement la …. Concernant la performance des fonds mesurée par le ratio de Sharpe et l'indice Omega, nous trouvons que leur classement par …
Persistent link: https://www.econbiz.de/10008790420
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Assessing Hedge Fund Performance: Does the Choice of Measures Matter?
Nguyen-Thi-Thanh, Huyen - HAL - 2007
' relative performance in terms of ranks and deciles when the performance measure changes. Despite strong positive correlations … persistent than the others in measuring hedge fund performance. …
Persistent link: https://www.econbiz.de/10008793397
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Affiliated and independent venture capitalists: early stages screening and the syndication / leverage trade-off
Nasica, Eric; Torre, Dominique - HAL - 2008
The topic of this paper is to analyze comparatively the interest and the advantages of the existence of heterogeneous institutions in the Venture Capital activity. We focus on the duality relevant in Europe between Independent Venture Capitalists and the Bank-Affiliated ones. We first discuss in...
Persistent link: https://www.econbiz.de/10008793553
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The necessity to correct hedge fund returns: empirical evidence and correction method
Gallais-Hamonno, Georges; Nguyen-Thi-Thanh, Huyen - HAL - 2007
We study two principal mechanisms suggested in the literature to correct the serial correlationin hedge fund returns and the impact of this correction on financial characteristics of their returnsas well as on their risk level and on their performances. The methods of Geltner (1993), its...
Persistent link: https://www.econbiz.de/10008793728