Gregoriou / Zhu Evaluating Hedge Fund and CTA Performance

Data Envelopment Analysis Approach
1. Auflage 2005
ISBN: 978-0-471-73004-0
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 168 Seiten, E-Book

Reihe: Wiley Finance Editions

Introducing Data Envelopment Analysis (DEA) -- a quantitativeapproach to assess the performance of hedge funds, funds of hedgefunds, and commmodity trading advisors. Steep yourself inthis approach with this important new book by Greg Gregoriou andJoe Zhu.
"This book steps beyond the traditional trade-off betweensingle variables for risk and return in the determination ofinvestment portfolios. For the first time, a comprehensiveprocedure is presented to compose portfolios using multiplemeasures of risk and return simultaneously. This approachrepresents a watershed in portfolio construction techniques and isespecially useful for hedge fund and CTA offerings."
-- Richard E. Oberuc, CEO, Burlington Hall Asset Management, Inc.Chairman, Foundation for Managed Derivatives Research
Order your copy today!

Autoren/Hrsg.

Gregoriou, Greg N.

Zhu, Joe

Inhaltsverzeichnis

Preface.
Acknowledgments.
Chapter 1: Fund Selection and Data EnvelopmentAnalysis.
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 Model.
Solving 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-BenchmarkModels.
Introduction.
Results.
Conclusion.
Chapter 10: Closing Remarks.
References.
Index.
About the CD-Rom.
About the Authors.

Über Autor(innen)

GREG N. GREGORIOU is Assistant Professor of Finance and coordinatorof faculty research in the School of Business and Economics at theState University of New York (Plattsburgh). He received his BA ineconomics from Concordia University and his MBA and PhD in financefrom the University of Quebec at Montreal. He is an associate withthe Peritus Group in Montreal and the hedge fund editor and aneditorial board member for Derivatives Use, Trading and Regulation(London). Gregoriou has published over forty articles on hedgefunds and CTAs for peer-reviewed publications such as the Journalof Futures Markets, European Journal of Operational Research,Annals of Operations Research, European Journal of Finance, andJournal of Asset Management. He is coauthor or coeditor of threebooks on hedge funds and CTAs: Performance Evaluation of HedgeFunds; Hedge Funds: Strategies, Risk Assessment, and Returns; andCommodity Trading Advisors: Risk, Performance Analysis, andSelection (Wiley).
JOE ZHU is Associate Professor of Operations in the Departmentof Management at Worcester Polytechnic Institute. Zhu received hisPhD in industrial engineering and operations research from theUniversity of Massachusetts Amherst. Zhu has published two booksfocusing on performance evaluation using Data Envelopment Analysisand has developed the DEAFrontier software. An associate editor ofthe Omega journal, he is an expert in methods of performancemeasurement. Dr. Zhu has published over forty refereed papers injournals such as Management Science, Operations Research, IIETransactions, and the Journal of Operational Research Society.