On the use of data envelopment analysis in hedge fund performance appraisal
AbstractPrevious 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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Date of creation: 02 Feb 2007
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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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