Gregoriou G.N., Zhu J. Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach

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размер 2.18 МБ
добавлен 28 декабря 2011 г.

Wiley, 2011. - 167 pages

Introducing Data Envelopment Analysis (DEA) - a quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commmodity trading advisors. Steep yourself in this approach with this important new book by Greg Gregoriou and Joe Zhu.
"This book steps beyond the traditional trade-off between single variables for risk and retu in the determination of investment portfolios. For the first time, a comprehensive procedure is presented to compose portfolios using multiple measures of risk and retu simultaneously. This approach represents a watershed in portfolio construction techniques and is especially useful for hedge fund and CTA offerings."
Richard E. Oberuc, CEO, Burlington Hall Asset Management, Inc. Chairman, Foundation for Managed Derivatives Research

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