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

摘要

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. (C) 2019 Elsevier B.V. All rights reserved.