Data envelopment analysis

Journal of Portfolio Management

Volumn 33, Issue 2, 2007, Pages 120-132

  Gregoriou, Greg N ^a   Zhu, Joe ^b  

^a STATE UNIVERSITY OF NEW YORK   (United States)

^b WORCESTER POLYTECHNIC INSTITUTE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33947189518     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2007.674798     Document Type: Review

References (27)

1. Agarwal, V., and N.Y. Naik. "Risks and Portfolio Decisions Involving Hedge Funds." Review of Financial Studies, Vol. 17, No. 1 (2004), pp. 63-98.
2. Amenc, N., S.E. Bied, and L. Martellini. "Evidence in Predictability in Hedge Fund Returns and Multi-Style Multi-Class Tactical Style Allocation Decisions." Financial Analysts Journal, Vol. 5, No. 59 (2003), pp. 32-46.
3. Banker, R.D., A. Charnes, and W.W. Cooper."Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis." Management Science, Vol. 30, No. 9 (1984), pp. 1078-1092.
4. Brown, S.J., and W.N. Goetzmann. "Hedge Funds with Style." The Journal of Portfolio Management, Vol. 29, No. 2 (2003), pp. 101-112.
5. Brown, SJ.,W.N. Goetzmann, and J. Park."Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry." Journal of Finance, Vol. 56, No. 5 (2001), pp. 1869-1886.
6. Charnes, A., W.W. Cooper, and E. R.hodes."Measuring the Efficiency of Decision Making Units." European Journal of Operational Research,Vol. 2, No. 6 (1978), pp. 429-444.
7. Darling, G., K. Mukherjee, and K.Wilkens."CTA Performance Evaluation with Data Envelopment Analysis." In G.N. Gregoriou,V.N. Karavas, F.S. Lhabitant, and F. Rouah, eds., Commodity Trading Advisors: Risk, Performance Analysis and Selection. Hoboken: John Wiley & Sons, Inc., 2004.
8. Diz, F., G.N. Gregoriou, F. Rouah, and S.E. Satchell. "Simple and Cross Efficiency of CTAs Using Data Envelopment Analysis." In G.N. Gregoriou,V.N. Karavas, F.S. Lhabitant, and F. Rouah, eds., Commodity Trading Advisors: Risk, Performance Analysis and Selection. Hoboken: John Wiley & Sons, Inc., 2004.
9. Edwards, F.R., and M.O. Caglayan."Hedge Fund Performance and Manager Skill." Journal of Futures Markets, Vol. 21, No. 11 (2001), pp. 1003-1028.
10. Favre, L., and J.A. Galeano. "Mean-Modified Value-at-Risk Optimization with Hedge Funds." Journal of Alternative Investments, Vol. 5, No. 2 (2002), pp. 21-25.
11. Fung, W.F., and D.A. Hsieh. "Asset-Based Style Factors for Hedge Funds." Financial Analysts Journal,Vol. 58, No. 5 (2002a), pp. 16-28.
12. _."Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases." Financial Analysts Journal, Vol. 58, No. 1 (2002b), pp. 22-34.
13. _."Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds." Review of Financial Studies, Vol. 10, No. 2 (1997), pp. 275-302.
14. _."A Primer on Hedge Funds." Journal of Empirical Finance, Vol. 6, No. 3 (1999), pp. 309-331.
15. Gregoriou, G.N. "Trading Efficiency of Commodity Trading Advisors Using Data Envelopment Analysis." Derivatives Use, Trading and Regulation, Vol. 12, No. 1-2 (2006), pp. 1-13.
16. Gregoriou, G.N., andY. Chen. "Evaluation of Commodity Trading Advisors Using Fixed and Variable Benchmark Models." Annals of Operations Research, Vol. 145, No. 1 (2006), pp. 167-181.
17. Gregoriou, G.N., and K. McCarthy. "Efficiency of Funds of Hedge Funds." In G.N. Gregoriou, G. Hubner, N. Papageorgiou, and F. Rouah, eds., Hedge Funds: Insights in Performance, Risk Analysis and Portfolio Allocation. Hoboken: John Wiley & Sons, Inc., 2005.
18. Gregoriou, G.N., F. Rouah, and K. Sedzro. "On the Market Timing of Hedge Fund Managers." The Journal of Wealth Management, Vol. 5, No. 1 (2002), pp. 26-38.
19. Gregoriou, G.N., K. Sedzro, and J. Zhu. "Hedge Fund Performance Appraisal Using Data Envelopment Analysis." European Journal of Operational Research, Vol 164, No. 2 (2005), pp. 555-571.
20. Gregoriou, G.N., and J. Zhu. Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach. Hoboken: John Wiley & Sons, Inc., 2005.
21. L'habitant, F. S. "Assessing Market Risk for Hedge Funds and Hedge Fund Portfolios." Journal of Risk Finance, Vol. 2, No. 4 (2002), pp. 16-32.
22. Liang, B. "On the Performance of Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds." Working paper, Case Western Reserve University-Weatherhead School of Management, 2003.
23. _."On the Performance of Hedge Funds." Financial Analysts Journal, Vol. 55, No. 4 (1999), pp. 72-85.
24. Sharpe,W.F."Asset Allocation: Mzanagement Style and Performance Measurement." The Journal of Portfolio Management, Vol. 18, No. 2 (1992), pp. 7-19.
25. Wilkens, K., and J. Zhu."Classifying Hedge Funds Using Data Envelopment Analysis." In G.N. Gregoriou, V.N. Karavas, and F. Rouah, eds., Hedge Funds: Strategies, Risk Assessment, and Returns. Baltimore: Beard Books, 2003.
26. _."Portfolio Evaluation and Benchmark Selection: A Mathematical Programming Approach." Journal of Alternative Investments, Vol. 4, No. 1 (2001), pp. 9-19.
27. Zhu, J. Quantitative Models for Performance Evaluation and Benchmarking. Boston: Kluwer Academic Publishers, 2003.