Evaluating hedge fund and CTA performance: data envelopment analysis approach
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, N.J.
Wiley
2005
|
| Schriftenreihe: | Wiley finance
|
| Schlagworte: | |
| Online-Zugang: | Table of contents only Contributor biographical information Publisher description Inhaltsverzeichnis |
| Beschreibung: | VIII, 167 S. Ill. 1 CD-ROM (12 cm) |
| Format: | System requirements for accompanying DC-ROM: Any PC or Macintosh computer that has a recent version. |
| ISBN: | 9780471681854 0471681857 |
Internformat
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| 245 | 1 | 0 | |a Evaluating hedge fund and CTA performance |b data envelopment analysis approach |c Greg N. Gregoriou ; Joe Zhu |
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| 650 | 7 | |a Data-analyse |2 gtt | |
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Datensatz im Suchindex
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| adam_text | Contents
Prelace v
viii
Acknowledgments
CHAPTER 1 1
Fund Selection and Data Envelopment Analysis |
Introduction
Fund Selection
What Is Data Envelopment Analysis?
CHAPTER 2 „
DEA Models []
Introduction
DEA Model Calculation n
Markowitz Model and Sharpe Ratio
Constant Retums to Scale DEA Model ^
Negative Data ~9
DEAFrontier Excel Add In
Solving DEA Model
CHAPTER 3 „.
Classification Methods *]
Introduction V, 7
Retums to Scale Classification ^~
(Context Dependent DEA
CHAPTER 4 .7
Benchmarking Models ^L
Introduction ._
Variable Benchmark Model
V
Vi CONTENTS
Solving Variable Benchmark Model 52
Fixed Benchmark Model 54
Solving Fixed Benchmark Model 56
CHAPTER 5
Data, Inputs, and Outputs 57
Description of Data 57
Methodology 61
Preparing the Data for DEAFrontier 63
CHAPTER 6
Application of Basic DEA Models 67
Introduction 67
Results 68
Conclusion 110
CHAPTER 7
Application ot Returns to Scale 111
Introduction 111
Results 112
Conclusion 120
CHAPTER 8
Application ol Context Dependent DEA 121
Introduction 121
Results 123
Conclusion 138
CHAPTER 9
Application of Fixed and Variable Benchmark Models 139
Introduction 139
Results 140
Conclusion 152
CHAPTER 10
Closing Remarks 153
References 155
Index 159
About the CD Rom 163
About the Authors 167
|
| adam_txt |
Contents
Prelace v"
viii
Acknowledgments
CHAPTER 1 1
Fund Selection and Data Envelopment Analysis |
Introduction
Fund Selection
What Is Data Envelopment Analysis?
CHAPTER 2 „
DEA Models []
Introduction
DEA Model Calculation n
Markowitz Model and Sharpe Ratio '
Constant Retums to Scale DEA Model ^
Negative Data ~9
DEAFrontier Excel Add In "
Solving DEA Model
CHAPTER 3 „.
Classification Methods *]
Introduction V, 7
Retums to Scale Classification '^~
(Context Dependent DEA
CHAPTER 4 .7
Benchmarking Models ^L
Introduction ._
Variable Benchmark Model
V
Vi CONTENTS
Solving Variable Benchmark Model 52
Fixed Benchmark Model 54
Solving Fixed Benchmark Model 56
CHAPTER 5
Data, Inputs, and Outputs 57
Description of Data 57
Methodology 61
Preparing the Data for DEAFrontier 63
CHAPTER 6
Application of Basic DEA Models 67
Introduction 67
Results 68
Conclusion 110
CHAPTER 7
Application ot Returns to Scale 111
Introduction 111
Results 112
Conclusion 120
CHAPTER 8
Application ol Context Dependent DEA 121
Introduction 121
Results 123
Conclusion 138
CHAPTER 9
Application of Fixed and Variable Benchmark Models 139
Introduction 139
Results 140
Conclusion 152
CHAPTER 10
Closing Remarks 153
References 155
Index 159
About the CD Rom 163
About the Authors 167 |
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| index_date | 2024-07-02T18:32:54Z |
| indexdate | 2024-07-09T21:05:24Z |
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| isbn | 9780471681854 0471681857 |
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| spelling | Gregoriou, Greg N. 1956- Verfasser (DE-588)132185016 aut Evaluating hedge fund and CTA performance data envelopment analysis approach Greg N. Gregoriou ; Joe Zhu Hoboken, N.J. Wiley 2005 VIII, 167 S. Ill. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Wiley finance System requirements for accompanying DC-ROM: Any PC or Macintosh computer that has a recent version. Data-analyse gtt Hedging gtt Hedge funds Evaluation Data envelopment analysis Performance Kapitalanlage (DE-588)4219415-5 gnd rswk-swf Hedge Fund (DE-588)4444016-9 gnd rswk-swf Data Envelopment Analysis (DE-588)4573838-5 gnd rswk-swf Investmentfonds (DE-588)4114047-3 gnd rswk-swf Hedge Fund (DE-588)4444016-9 s Performance Kapitalanlage (DE-588)4219415-5 s Data Envelopment Analysis (DE-588)4573838-5 s DE-604 Investmentfonds (DE-588)4114047-3 s b DE-604 Zhu, Joe Verfasser aut http://www.loc.gov/catdir/toc/ecip054/2004028303.html Table of contents only http://www.loc.gov/catdir/enhancements/fy0617/2004028303-b.html Contributor biographical information http://www.loc.gov/catdir/enhancements/fy0617/2004028303-d.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015962521&sequence=000008&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gregoriou, Greg N. 1956- Zhu, Joe Evaluating hedge fund and CTA performance data envelopment analysis approach Data-analyse gtt Hedging gtt Hedge funds Evaluation Data envelopment analysis Performance Kapitalanlage (DE-588)4219415-5 gnd Hedge Fund (DE-588)4444016-9 gnd Data Envelopment Analysis (DE-588)4573838-5 gnd Investmentfonds (DE-588)4114047-3 gnd |
| subject_GND | (DE-588)4219415-5 (DE-588)4444016-9 (DE-588)4573838-5 (DE-588)4114047-3 |
| title | Evaluating hedge fund and CTA performance data envelopment analysis approach |
| title_auth | Evaluating hedge fund and CTA performance data envelopment analysis approach |
| title_exact_search | Evaluating hedge fund and CTA performance data envelopment analysis approach |
| title_exact_search_txtP | Evaluating hedge fund and CTA performance data envelopment analysis approach |
| title_full | Evaluating hedge fund and CTA performance data envelopment analysis approach Greg N. Gregoriou ; Joe Zhu |
| title_fullStr | Evaluating hedge fund and CTA performance data envelopment analysis approach Greg N. Gregoriou ; Joe Zhu |
| title_full_unstemmed | Evaluating hedge fund and CTA performance data envelopment analysis approach Greg N. Gregoriou ; Joe Zhu |
| title_short | Evaluating hedge fund and CTA performance |
| title_sort | evaluating hedge fund and cta performance data envelopment analysis approach |
| title_sub | data envelopment analysis approach |
| topic | Data-analyse gtt Hedging gtt Hedge funds Evaluation Data envelopment analysis Performance Kapitalanlage (DE-588)4219415-5 gnd Hedge Fund (DE-588)4444016-9 gnd Data Envelopment Analysis (DE-588)4573838-5 gnd Investmentfonds (DE-588)4114047-3 gnd |
| topic_facet | Data-analyse Hedging Hedge funds Evaluation Data envelopment analysis Performance Kapitalanlage Hedge Fund Data Envelopment Analysis Investmentfonds |
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