对冲基金 及CTA的表现评估EVALUATING HEDGE FUND AND CTA PERFORMANCE: DATA ENVELOPMENT ANALYSIS APPROACH + CD
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作者： Greg N. Gregoriou, Joe Zhu 著
出 版 社： 吉林长白山
出版时间： 2005-12-1字数：版次： 1页数： 167印刷时间： 2005/04/01开本：印次：纸张： 胶版纸I S B N ： 9780471681854包装： 精装内容简介
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.
作者简介
GREG N. GREGORIOU is Assistant Professor of Finance and coordinator of faculty research in the School of Business and Economics at the State University of New York (Plattsburgh). He received his BA in economics from Concordia University and his MBA and PhD in finance from the University of Quebec at Montreal. He is an associate with the Peritus Group in Montreal and the hedge fund editor and an editorial board member for Derivatives Use, Trading and Regulation (London). Gregoriou has published over forty articles on hedge funds and CTAs for peer-reviewed publications such as the Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, European Journal of Finance, and Journal of Asset Management. He is coauthor or coeditor of three books on hedge funds and CTAs: Performance Evaluation of Hedge Funds; Hedge Funds: Strategies, Risk Assessment, and Returns; and Commodity Trading Advisors: Risk, Performance Analysis, and Selection (Wiley).
目录
Preface
Acknowledgments
Chapter 1: Fund Selection and Data Envelopment Analysis
Introduction
Fund Selection
What Is Data Envelopment Analysis?
Chapter 2: DEA Models
Introduction
DEA Model Calculation
Markowitz Model and Sharpe Ratio
Constant Returns-to-Scale DEA Model
Negative Data
DEAFrontier Excel Add-In
Solving DEA Model
Chapter 3: Classification Methods
Introduction
Returns-to-Scale Classification
Context-Dependent DEA
Chapter 4: Benchmarking Models
Introduction
Variable-Benchmark Model
Solving Variable-Benchmark Model
Fixed-Benchmark Model
Solving Fixed-Benchmark Model
Chapter 5: Data, Inputs, and Outputs
Description of Data
Methodology
Preparing the Data for DEAFrontier
Chapter 6: Application of Basic DEA Models
Introduction
Results
Conclusion
Chapter 7: Application of Returns-to-Scale
Introduction
Results
Conclusion
Chapter 8: Application of Context-Dependent DEA
Introduction
Results
Conclusion
Chapter 9: Application of Fixed- and Variable-Benchmark Models
Introduction
Results
Conclusion
Chapter 10: Closing Remarks
References
Index
About the CD-Rom
About the Authors
