We extend the concept of cost-efficiency of Dybvig (1988)to account for benchmarks and provide a generalization of the efficiency test from Amin and Kat (2003). We illustrate the new efficiency test by ranking a panel of hedge funds based on their probability distribution and their interaction with a benchmark.

Original languageEnglish
Pages (from-to)203-207
JournalEconomics Letters
Volume181
Issue number1
Publication statusPublished - Oct 2019

ID: 48732946