On the Use of Data Envelopment Analysis in Hedge Fund performance Appraisal

Huyen N'Guyen-Thi-Thanh

Post-Print from HAL

Abstract: Previous studies have documented that Data Envelopment Analysis could be a good tool to evaluate fund performance, especially in the hedge fund context as it can incorporate multiple risk-return attributs characterizing hedge fund's non normal return distribution into an unique performance score. In this paper, I first revisited the use of DEA in hedge fund performance appraisal in response to Gregoriou et al. (2005) and Kooli et al. (2005). Then I addressed the consequences of the choice of risk, return parameters and DEA models on fund ranking

Keywords: hedge funds; performance measurement; data envelopment analysis (search for similar items in EconPapers)
Date: 2005-11-22
References: Add references at CitEc
Citations:

Published in 2005

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00007634

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().