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

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Author Info
NGUYEN-THI-THANH Huyen (Laboratoire d'Economie d'Orléans, Université d'Orléans)

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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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Publisher 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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Find related papers by JEL classification:
G2 - Financial Economics - - Financial Institutions and Services
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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  1. Sarrico, C. S. & Dyson, R. G., 2004. "Restricting virtual weights in data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 159(1), pages 17-34, November. [Downloadable!] (restricted)
  2. Basso, Antonella & Funari, Stefania, 2001. "A data envelopment analysis approach to measure the mutual fund performance," European Journal of Operational Research, Elsevier, vol. 135(3), pages 477-492, December. [Downloadable!] (restricted)
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  4. 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. [Downloadable!] (restricted)
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  6. Zhu, Joe, 2001. "Super-efficiency and DEA sensitivity analysis," European Journal of Operational Research, Elsevier, vol. 129(2), pages 443-455, March. [Downloadable!] (restricted)
  7. Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, vol. 54(3), pages 833-874, 06. [Downloadable!] (restricted)
  8. Morey, Matthew R. & Morey, Richard C., 1999. "Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking," Omega, Elsevier, vol. 27(2), pages 241-258, April. [Downloadable!] (restricted)
  9. Yoon K. Choi & B.P.S. Murthi, 2001. "Relative Performance Evaluation of Mutual Funds: A Non-Parametric Approach," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 28(7&8), pages 853-876. [Downloadable!] (restricted)
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  12. Brown, Keith C & Harlow, W V & Starks, Laura T, 1996. " Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 51(1), pages 85-110, March. [Downloadable!] (restricted)
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