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On the use of data envelopment analysis in hedge fund performance appraisal

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  • NGUYEN-THI-THANH Huyen

    (Laboratoire d'Economie d'Orléans, Université d'Orléans)

Abstract

Previous studies have documented that Data Envelopment Analysis (DEA) could be a good tool to evaluate fund performance, especially the performance of hedge funds as it can incorporate multiple risk-return attributes characterizing hedge fund's non normal return distribution in an unique performance score. The main purpose of this paper is to enlarge the use of DEA to the context of hedge fund selection when investors face up multiple objectives, each one associated to a different important level. We show that DEA can be a powerful decision-making supplement to assist investors in selecting funds that correspond the most to their risk-aversion, financial, diversification and investment horizon constraints

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File URL: http://repec.org/mmf2006/up.18346.1145733238.pdf
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Bibliographic Info

Paper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2006 with number 131.

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Date of creation: 02 Feb 2007
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Handle: RePEc:mmf:mmfc06:131

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Cited by:
  1. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression approach," Working Papers. Serie EC 2013-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer, vol. 20(4), pages 442-471, December.
  3. Agata Sielska, 2010. "Multicriteria rankings of open-end investment funds and their stability," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 111-129.
  4. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa Ausina, 2011. "On the informativeness of persistence for mutual funds' performance evaluation using partial frontiers," Working Papers. Serie EC 2011-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  5. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).

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