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Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach + CD-ROM

Author Greg N. Gregoriou, Joe Zhu
Publisher Wiley
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89.95 USD
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Book Details
PublisherWiley
ISBN / ASIN0471681857
ISBN-139780471681854
AvailabilityUsually ships in 24 hours
Sales Rank2,962,019
MarketplaceUnited States 🇺🇸

Description

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 return in the determination of investment portfolios. For the first time, a comprehensive procedure is presented to compose portfolios using multiple measures of risk and return 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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