29 research outputs found
Survival of strategic, market defensive, diversified and conservative fund of hedge funds: 1994–2005
Chasing performance persistence of hedge funds – Comparative analysis of evaluation techniques
DEA performance assessment of mutual funds
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 problem of the presence of negative returns in DEA modeling for mutual funds and we identify a DEA model that is financially justified and tackles the issue of negative returns in a natural way. Moreover, we present an empirical application on real market data, considering different risk measures.\ud
We consider also different holding periods, which include both a period of financial crisis and one of financial recovery. Moreover, we compare the results of the DEA performance measure with those obtained with traditional financial indicators
An assessment model for the periodic reviews of the market values of property assets
In this paper a mass appraisal methodology for the periodic reviews of the market values of special properties that constitute the asset balance of relevant real estate portfolios has been developed. Using the information published by Italian databases, a study sample of office properties of medium and large size, located in the city of Milan (Italy) and sold in the last decade, has been obtained. After having identified the main characteristics that contribute to the formation of property prices for the study sample considered, a model for the “quick” assessment of similar properties for intended use and explanatory variables of the prices and located in the same territorial context has been defined through the implementation of a genetic algorithm. The methodology developed satisfies the need to perform repetitive valuations, that should be not only contextualized to the spatial characteristics, but also timed to the different stages of evolution of the property cycles