Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models
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DOI: 10.1007/s10479-006-0030-y
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- Greg Gregoriou & Fabrice Rouah & Stephen Satchell & Fernando Diz, 2005. "Simple and cross efficiency of CTAs using data envelopment analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 393-409.
- Gregoriou, Greg N. & Sedzro, Komlan & Zhu, Joe, 2005. "Hedge fund performance appraisal using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 555-571, July.
- Thomas Schneeweis & Uttama Savanayana & David McCarthy, 1991. "Alternative commodity trading vehicles: A performance analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(4), pages 475-490, August.
- Franklin R. Edwards & Cindy Ma, 1988. "Commodity pool performance: Is the information contained in pool prospectuses useful?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 8(5), pages 589-616, October.
- Edwards, F.R. & Ma, C., 1988. "Commodity Pool Performance:Is The Information Contained In Pool Prospectuses Useful?," Papers csfm-166, Columbia - Center for Futures Markets.
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- Ito, Yutaka & Managi, Shunsuke & Matsuda, Akimi, 2012. "Performances of Socially Responsible Investment and Environmentally Friendly Funds," MPRA Paper 40654, University Library of Munich, Germany.
- J. Francisco Rubio & Neal Maroney & M. Kabir Hassan, 2018. "Can Efficiency of Returns Be Considered as a Pricing Factor?," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 25-54, June.
- Glawischnig, Markus & Sommersguter-Reichmann, Margit, 2010. "Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing?," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 295-303, February.
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Keywords
Managed futures; Benchmark; Data envelopment analysis (DEA); Performance;All these keywords.
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