Beyond mean–variance: assessing hedge fund performance in a non-parametric world
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DOI: 10.1007/s11408-022-00409-8
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Cited by:
- Jin Yuan & Xianghui Yuan, 2023. "A Comprehensive Method for Ranking Mutual Fund Performance," SAGE Open, , vol. 13(2), pages 21582440231, May.
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More about this item
Keywords
Hedge funds; Directional DEA; Performance; Non-parametric efficient frontier;All these keywords.
JEL classification:
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C67 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Input-Output Models
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