Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach
"This book steps beyond the traditional trade-off between
single variables for risk and return in the determination of
investment portfolios. For the first time, a comprehensive
procedure is presented to compose portfolios using multiple
measures of risk and return simultaneously. This approach
represents a watershed in portfolio construction techniques and is
especially useful for hedge fund and CTA offerings."
-- Richard E. Oberuc, CEO, Burlington Hall Asset Management, Inc. Chairman, Foundation for Managed Derivatives Research
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Chapter 1: Fund Selection and Data Envelopment Analysis.
What Is Data Envelopment Analysis?
Chapter 2: DEA Models.
DEA Model Calculation.
Markowitz Model and Sharpe Ratio.
Constant Returns-to-Scale DEA Model.
DEAFrontier Excel Add-In.
Solving DEA Model.
Chapter 3: Classification Methods.
Chapter 4: Benchmarking Models.
Solving Variable-Benchmark Model.
Solving Fixed-Benchmark Model.
Chapter 5: Data, Inputs, and Outputs.
Description of Data.
Preparing the Data for DEAFrontier.
Chapter 6: Application of Basic DEA Models.
Chapter 7: Application of Returns-to-Scale.
Chapter 8: Application of Context-Dependent DEA.
Chapter 9: Application of Fixed- and Variable-Benchmark Models.
Chapter 10: Closing Remarks.
About the CD-Rom.
About the Authors.
JOE ZHU is Associate Professor of Operations in the Department of Management at Worcester Polytechnic Institute. Zhu received his PhD in industrial engineering and operations research from the University of Massachusetts Amherst. Zhu has published two books focusing on performance evaluation using Data Envelopment Analysis and has developed the DEAFrontier software. An associate editor of the Omega journal, he is an expert in methods of performance measurement. Dr. Zhu has published over forty refereed papers in journals such as Management Science, Operations Research, IIE Transactions, and the Journal of Operational Research Society.