对冲基金 及CTA的表现评估

对冲基金 及CTA的表现评估
作 者: Greg Gregoriou Joe Zhu
出版社: 吉林长白山
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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 Ph

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.

图书目录

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