On the Use of Data Envelopment Analysis in Hedge Fund Performance Appraisal - HAL Accéder directement au contenu
Pré-publication, Document de travail Année : 2006

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

Résumé

This paper aims to show that Data Envelopment Analysis (DEA) is an efficient tool to assist investors in multiple criteria decision-making tasks like assessing hedge fund performance. DEA has the merit of offering investors the possibility to consider simultaneously multiple evaluation criteria with direct control over the priority level paid to each criterion. By addressing main methodological issues regarding the use of DEA in evaluating hedge fund performance, this paper attempts to provide investors sufficient guidelines for tailoring their own performance measure which reflect successfully their own preferences. Although these guidelines are formulated in the hedge fund context, they can also be applied to other kinds of investment funds.
Fichier principal
Vignette du fichier
Nguyen_HedgeFundPerformance_DEA_200612.pdf ( 259.38 Ko ) Télécharger
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-00120292, version 1 (14-12-2006)

Identifiants

  • HAL Id : halshs-00120292 , version 1

Citer

Huyen Nguyen-Thi-Thanh. On the Use of Data Envelopment Analysis in Hedge Fund Performance Appraisal. 2006. ⟨halshs-00120292⟩
120 Consultations
208 Téléchargements
Dernière date de mise à jour le 28/04/2024
comment ces indicateurs sont-ils produits

Partager

Gmail Facebook Twitter LinkedIn Plus