Analysis of hedge fund strategies using slack-based DEA models

DOI10.1057/jors.2009.143zbMath1198.91237OpenAlexW1970562078MaRDI QIDQ3057749

U. Dinesh Kumar, A. B. Roy, Haritha Saranga, K. Singal

Publication date: 17 November 2010

Published in: Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1057/jors.2009.143

zbMATH Keywords

data envelopment analysisSharpe ratioSortino ratiohedge fundCalmar ratio

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Linear programming (90C05)

Related Items (3)

A trade-level DEA model to evaluate relative performance of investment fund managers ⋮ Resampling DEA estimates of investment fund performance ⋮ A modified slacks-based measure of efficiency in data envelopment analysis

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