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

DOI10.1007/S10479-006-0030-YzbMATHOpenAlexMaRDI QIDQ863541FDO

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)

Recommendations

• Hedge fund performance appraisal using data envelopment analysis
• A trade-level DEA model to evaluate relative performance of investment fund managers
• Evaluating mutual fund performance: an application of minimum convex input requirement set approach
• Analysis of hedge fund strategies using slack-based DEA models
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach

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

This page was built for publication: Evaluation of commodity trading advisors using fixed and variable and benchmark models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q863541)