Performance measurement is one of the most studied subjects in financial literature. Since
the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared …

Data envelopment analysis (DEA) has been a widely used methodology for evaluating the
relative performance of portfolios. Extensive work has appeared for realizing the role of DEA …

This paper analyses the risk‐return trade‐off in the hedge fund industry. We compare semi‐
deviation, value‐at‐risk (VaR), Expected Shortfall (ES) and Tail Risk (TR) with standard …

Using two large hedge fund databases, this paper empirically tests the presence and
significance of a cross-sectional relation between hedge fund returns and value at risk …

Abstract We generalize the Black–Litterman (BL) portfolio management framework to
incorporate time-variation in the conditional distribution of returns in the asset allocation …

In this article, it is shown that although minimum‐variance hedging unambiguously reduces
the standard deviation of portfolio returns, it can increase both left skewness and kurtosis; …

It is widely accepted that, when return distributions are non-normal, the use of the Sharpe
ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund …

Market investors use financial performance measures to determine, often ex post, fund
managers' investment ability and identify the fund managers who are best suited to …

The non‐normality of financial asset returns has important implications for hedging. In
particular, in contrast with the unambiguous effect that minimum‐variance hedging has on …

Effective and robust crude oil hedging strategies are becoming increasingly important for
investors. However, due to the differences between data characteristics, the choice of model …