对冲基金 及CTA的表现评估

Preface
Acknowledgments
Chapter 1: Fund Selection and Data Envelopment Analysis
Introduction
Fund Selection
What Is Data Envelopment Analysis?
Chapter 2: DEA Models
Introduction
DEA Model Calculation
Markowitz Model and Sharpe Ratio
Constant Returns-to-Scale DEA Model
Negative Data
DEAFrontier Excel Add-In
Solving DEA Model
Chapter 3: Classification Methods
Introduction
Returns-to-Scale Classification
Context-Dependent DEA
Chapter 4: Benchmarking Models
Introduction
Variable-Benchmark Model
Solving Variable-Benchmark Model
Fixed-Benchmark Model
Solving Fixed-Benchmark Model
Chapter 5: Data, Inputs, and Outputs
Description of Data
Methodology
Preparing the Data for DEAFrontier
Chapter 6: Application of Basic DEA Models
Introduction
Results
Conclusion
Chapter 7: Application of Returns-to-Scale
Introduction
Results
Conclusion
Chapter 8: Application of Context-Dependent DEA
Introduction
Results
Conclusion
Chapter 9: Application of Fixed- and Variable-Benchmark Models
Introduction
Results
Conclusion
Chapter 10: Closing Remarks
References
Index
About the CD-Rom
About the Authors