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

DOI10.1007/S10479-006-0030-YzbMATH Open1106.91024OpenAlexW2048695913MaRDI QIDQ863541FDOQ863541

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

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

zbMATH Keywords

performancebenchmarkdata envelopment analysismanaged futures

Mathematics Subject Classification ID

Decision theory (91B06)

Cites Work

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

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)