| Title | Evaluating hedge fund and CTA performance: data envelopment analysis approach / Greg N. Gregoriou, Joe Zhu | Books |
| Name(s) | Gregoriou, Greg N., 1956- (Main Author)
Zhu, Joe, 1968- (*Related name)
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| Publication | Hoboken, N.J. : Wiley, c2005
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| Physical Details | viii, 167 p.; ill.; 24 cm.; 1 CD-ROM (4 3/4 in.)
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| Series | Wiley finance series
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| Subjects | Hedge funds--Evaluation
Data envelopment analysis
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| ISBN | 0471681857 (hc.)
9780471681854 (hc.)
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| Classmarks | 332.645
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| Notes | General: Variant series: Wiley finance.
General: Series statement from jacket.
Bib. & Index: Includes bibliographical references (p. 155-158) and index.
Contents: Fund selection and data envelopment analysis -- Dea models -- Classification methods -- Benchmarking models -- Data, inputs and outputs -- Application of basic dea models -- Application of returns-to-scale -- Application of context-dependent dea -- Application of fixed-and variable-benchmark models -- Closing remarks.
Summary: "Introducing Data Envelopment Analysis (DEA) -- a quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commmodity trading advisors._ Steep yourself in this approach with this important new book by Greg Gregoriou and Joe Zhu. "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 Order your copy today!."--Publisher's description.
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Category | | 00442997 | Jafet Audio-Visuals Section | ANBM | 332.645:G821e:CD-ROM:c.1 | Available | Standard Loan |
| 00442992 | Jafet Library | J | 332.645:G821e:c.1 | Available | Standard Loan |
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