A new efficiency test for ranking investments: Application to hedge fund performance
Steven Vanduffel and
Economics Letters, 2019, vol. 181, issue C, 203-207
We extend the concept of cost-efficiency of Dybvig (1988) to account for benchmarks and provide a generalization of the efficiency test from Amin and Kat (2003). We illustrate the new efficiency test by ranking a panel of hedge funds based on their probability distribution and their interaction with a benchmark.
Keywords: Performance measurement; Cost-efficiency; Optimal portfolio choice; Preferences; Sharpe ratio; Hedge funds (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:181:y:2019:i:c:p:203-207
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