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A new efficiency test for ranking investments: Application to hedge fund performance. / Bernard, Carole; Ye, Jiang; Vanduffel, Steven.

In: Economics Letters, Vol. 181, No. 1, 10.2019, p. 203-207.

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@article{da46ea2c4e864f1aa74874c5267361a4,
title = "A new efficiency test for ranking investments: Application to hedge fund performance",
abstract = "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.",
author = "Carole Bernard and Jiang Ye and Steven Vanduffel",
year = "2019",
month = "10",
language = "English",
volume = "181",
pages = "203--207",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "1",

}

RIS

TY - JOUR

T1 - A new efficiency test for ranking investments: Application to hedge fund performance

AU - Bernard, Carole

AU - Ye, Jiang

AU - Vanduffel, Steven

PY - 2019/10

Y1 - 2019/10

N2 - 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.

AB - 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.

M3 - Article

VL - 181

SP - 203

EP - 207

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 1

ER -

ID: 48732946