On the use of data envelopment analysis in hedge fund performance appraisal

Thi Thanh Huyen Nguyen

No 131, Money Macro and Finance (MMF) Research Group Conference 2006 from Money Macro and Finance Research Group

Abstract: 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 incorporate multiple risk-return attributes characterizing hedge fund's non normal return distribution in an unique performance score. The main purpose of this paper is to enlarge the use of DEA to the context of hedge fund selection when investors face up multiple objectives, each one associated to a different important level. We show that DEA can be a powerful decision-making supplement to assist investors in selecting funds that correspond the most to their risk-aversion, financial, diversification and investment horizon constraints

JEL-codes: G11 G15 G2 (search for similar items in EconPapers)
Date: 2007-02-02
New Economics Papers: this item is included in nep-eff
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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http://repec.org/mmf2006/up.18346.1145733238.pdf (application/pdf)

Related works:
Working Paper: On the Use of Data Envelopment Analysis in Hedge Fund Performance Appraisal (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:mmf:mmfc06:131

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