Faculty Advisor

Mukherjee, Kankana

Faculty Advisor

Wilkens, Kathryn A.

Abstract

In this report, we use a new approach, data envelopment analysis (DEA), to evaluate the performance of commodity trading advisors (CTAS) using multiple criteria. Earlier studies have focused mainly on single criterion. After measuring the efficiency scores, we investigated the important determinants that affect the efficiencies of individual CTAS, using various specifications of tobit regression models. We find that during the up market, managers perform better and during the down market, CTAS using the systematic strategy perform better.

Publisher

Worcester Polytechnic Institute

Date Accepted

January 2003

Major

Management Engineering

Project Type

Major Qualifying Project

Accessibility

Restricted-WPI community only

Advisor Department

Business

Advisor Program

Business

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