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Communication Dans Un Congrès Année : 2006

Quantitative selection of hedge funds using data envelopment analysis

Résumé

Previous studies have documented that Data Envelopment Analysis
(DEA) could be a good tool to evaluate fund performance,
especially the performance of hedge funds as it can incorporate
multiple risk-return attributes characterizing hedge fund's non
normal return distribution in an unique performance score. The
purpose of this paper is to extend the use of DEA to the context
of hedge fund selection when investors must face multi-dimensional
constraints, each one associated to a relative importance level.
Unlike previous studies which used DEA in an empirical framework,
this research puts emphasis on methodological issues. I showed
that DEA can be a good tailor-made decision-making tool to assist
investors in selecting funds that correspond the most to their
financial, risk-aversion, diversification and investment horizon
constraints.
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Dates et versions

halshs-00067742 , version 1 (07-05-2006)
halshs-00067742 , version 2 (14-12-2006)

Identifiants

  • HAL Id : halshs-00067742 , version 2

Citer

Huyen Nguyen-Thi-Thanh. Quantitative selection of hedge funds using data envelopment analysis. Apr 2006. ⟨halshs-00067742v2⟩
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