Evaluation of commodity trading advisors using fixed and variable and benchmark models

DOI10.1007/S10479-006-0030-YMaRDI QIDQ863541zbMATH OpenOpenAlexFDO

Authors Greg N. Gregoriou, Yao Chen

Publication date 5 February 2007

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-006-0030-y

zbMATH Keywords

performancebenchmarkdata envelopment analysismanaged futures

Mathematics Subject Classification ID

Decision theory (91B06)

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Cites work

• Hedge fund performance appraisal using data envelopment analysis
• Quantitative models for performance evaluation and benchmarking. Data development analysis with spreadsheets and DEA Excel solver. With CD-ROM

Cited in

(2)

• A trade-level DEA model to evaluate relative performance of investment fund managers
• Congestion in Commodity Trading Advisors

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