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Nonparametric assessment of hedge fund performance

Almeida, Caio; Ardison, Kym; Garcia, René - 2019

Persistent link: https://www.econbiz.de/10012181908

Beyond mean-variance : assessing hedge fund performance in a non-parametric world

Hassouni, Afrae; Pirotte, Hugues - In: Financial markets and portfolio management 36 (2022) 4, pp. 473-488

Persistent link: https://www.econbiz.de/10013431703

Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings

Auer, Benjamin R.; Schuhmacher, Frank - In: Journal of international financial markets, … 24 (2013), pp. 153-165

Persistent link: https://www.econbiz.de/10009726414

Recent advances in hedge funds' performance attribution : performance persistence and fundamental factors

Stafylas, Dimitrios; Anderson, Keith; Uddin, Moshfique - In: International review of financial analysis 43 (2016), pp. 48-61

Persistent link: https://www.econbiz.de/10011623711

Cross-sectional alpha dispersion and performance evaluation

Harvey, Campbell R.; Liu, Yan - In: Journal of financial economics 134 (2019) 2, pp. 273-296

Persistent link: https://www.econbiz.de/10012166855

A meta-measure of performance related to both investors and investments characteristics

Billio, Monica; Maillet, Bertrand; Pelizzon, Loriana - In: Risk management decisions and value under uncertainty, (pp. 1405-1447). 2022

Persistent link: https://www.econbiz.de/10013342131

Nonparametric Assessment of Hedge Fund Performance

Almeida, Caio - 2019

We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). The SDF-based measures incorporate no-arbitrage pricing restrictions and naturally embed information about higher-order mixed moments...

Persistent link: https://www.econbiz.de/10012905264

Hedge fund performance using scaled Sharpe and Treynor measures

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300

Persistent link: https://www.econbiz.de/10011279837

Hedge fund performance evaluation using the Sharpe and Omega ratios

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 3, pp. 485-512

Persistent link: https://www.econbiz.de/10010370229

Investing in hedge funds : risks, returns, and performance measurement

Koh, Francis C. C.; Koh, Winston T. H.; Lee, David Kuo Chuen - In: Hedge funds : insights in performance measurement, risk …, (pp. 341-364). 2005

Persistent link: https://www.econbiz.de/10003138025

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