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1.
Martin Eling 《Financial Markets and Portfolio Management》2006,20(4):442-471
Data envelopment analysis (DEA) is a nonparametric method from the area of operations research that measures the relationship
of produced outputs to assigned inputs and determines an efficiency score. This efficiency score can be interpreted as a performance
measure in investment analysis. Recent literature contains intensive discussion of using DEA to measure the performance of
hedge funds, as this approach yields some advantages compared to classic performance measures. This paper extends the current
discussion in three aspects. First, we present different DEA models and analyze their suitability for hedge fund performance
measurement. Second, we systematize possible inputs and outputs for DEA and again examine their suitability for hedge fund
performance measurement. Third, two rules are developed to select inputs and outputs in DEA of hedge funds. Using this framework,
we find a completely new ranking of hedge funds compared to classic performance measures and compared to previously proposed
DEA applications. Thus, we propose that classic performance measures should be supplemented with DEA based on the suggested
rules to fully capture hedge fund risk and return characteristics.
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2.
This paper, which reinterprets previous work by Bradbury and Rouse (2002 ), addresses the risk quantification issue at an intuitive level. The insights provided by such quantification are discussed. Risk factors are associated with the risk-return concept. This allows measuring whether risks taken on are appropriately rewarded. The paper gives a non-technical exposition of DEA and outlines possible applications to accounting and finance. Using data for a large multinational, it shows how DEA analysis can be combined with internal audit procedures. It explains how the results obtained can be used to improve risk management. 相似文献