In recent years there has been an exponential growth in the number of publications related
to theory and applications of Data Envelopment Analysis (DEA). Charnes, Cooper, and …

We examine whether estimates of hedge fund performance reported in prior empirical
research are affected by publication bias. Using a sample of 1019 intercept terms from …

The objectives of this paper are manyfold. First we present a comprehensive review of the
literature of DEA models for the performance assessment of mutual funds. Then we discuss …

The least restrictive sufficient condition for expected utility to imply Sharpe ratio rankings is
the location and scale (LS) property (see Sinn, 1983; Meyer, 1987). The normal, the extreme …

Funds of hedge funds (FHF) are perceived to be the premier choice for institutional investors
looking to enter the alternative investment asset class. This article empirically investigates …

We provide the first quantitative survey of the empirical literature on hedge fund
performance. We examine the impact of potential biases on the reported results. Using a …

This article is the first to use quantile regression to analyze the impact of experience and
size of funds of hedge funds (FHFs) on performance. In comparison to OLS regression …

The foundation of the post-modern portfolio theory is creating a portfolio based on a desired
target return. This specifically applies to the performance of investment and pension funds …

Some observers believe, for various reasons, that the existence of a so-called “sec-ondary
market”-that is, the life settlement industry-for life insurance policies may, in and ofitself, be a …

We examine the factors influencing published estimates of hedge fund performance. Using a
sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the …