Analysis of hedge fund strategies using slack-based DEA models

Journal of the Operational Research Society

Volumn 61, Issue 12, 2010, Pages 1746-1760

  Kumar, U D ^a   Roy, A B ^a   Saranga, H ^a   Singal, K ^a  

^a INDIAN INSTITUTE OF MANAGEMENT BANGALORE   (India)

Author keywords

Calmar ratio; data envelopment analysis; hedge fund; Sharpe ratio; Sortino ratio

Indexed keywords

DATA ENVELOPMENT ANALYSIS; RISK ASSESSMENT; VALUE ENGINEERING; WOODEN FENCES;

ASIAN FINANCIAL CRISIS; CALMAR RATIO; HEDGE FUNDS; MULTIPLE INPUTS AND OUTPUTS; PERFORMANCE INDICATORS; PERFORMANCE MEASURE; SHARPE RATIOS; SORTINO RATIO;

FINANCIAL MARKETS;

EID: 78049317273     PISSN: 01605682     EISSN: 14769360     Source Type: Journal    
DOI: 10.1057/jors.2009.143     Document Type: Article

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