کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9663828 | 1446244 | 2005 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Hedge fund performance appraisal using data envelopment analysis
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
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چکیده انگلیسی
In this paper we apply data envelopment analysis (DEA) to evaluate the performance of hedge fund classifications. The purpose of alternative investment strategies such as hedge funds is to offer absolute returns, so using passive benchmarks to measure their performance could be ineffective. With the increasing number of hedge funds available, institutional investors, pension funds, and high net worth individuals urgently need a trustworthy efficiency appraisal method. DEA can achieve this. An important benefit of the DEA measure is that benchmarks are not required, thereby alleviating the problem of using traditional benchmarks to examine non-normal distribution of hedge fund returns. We suggest that DEA be used as a complimentary technique (or method) for the selection of efficient hedge funds and funds of hedge funds for investors. Using DEA can shed light and further validate hedge fund manager selection with other methodologies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 164, Issue 2, 16 July 2005, Pages 555-571
Journal: European Journal of Operational Research - Volume 164, Issue 2, 16 July 2005, Pages 555-571
نویسندگان
Greg N. Gregoriou, Komlan Sedzro, Joe Zhu,