'On the (Ab)use of Omega?'

Autor: Bertrand Maillet, Michele Costola, Gregory Mathieu Jannin, Massimiliano Caporin

Publikováno v: Journal of Empirical Finance
Journal of Empirical Finance, 2018, 11-33 p
[Research Report] ID 2559216, Social Science Research Network. 2016
Journal of Empirical Finance, Elsevier, 2018, 46, pp.11-33. ⟨10.1016/j.jempfin.2017.11.007⟩

Several recent finance articles employ the Omega measure, proposed by Keating and Shadwick (2002) - defined as a ratio of potential gains out of possible losses - for gauging the performance of funds or active strategies (e.g. Eling and Schuhmacher,

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::752f7080f1013673f7d67773615452b9
https://hal.archives-ouvertes.fr/hal-02312145

An Economic Evaluation of Model Risk in Long-term Asset Allocations

Autor: Gregory Mathieu Jannin, Bertrand Maillet, Patrick Kouontchou, Christophe Boucher

Publikováno v: Review of International Economics. 21:475-491

Following the recent crisis and the revealed weakness of risk management practices, regulators of developed markets have recommended that financial institutions assess model risk. Standard risk measures, such as the value-at-risk (VaR), emerged durin

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::19da66c5b49fec2fd38bcaf798c3a6a5
https://doi.org/10.1111/roie.12049

A Survey on the Four Families of Performance Measures

Autor: Massimiliano Caporin, Gregory Mathieu Jannin, Francesco Lisi, Bertrand B. Maillet

Publikováno v: Journal of Economic Surveys
Journal of Economic Surveys, Wiley, 2014, 28 (5), pp.917--942. ⟨10.1111/joes.12041⟩
Journal of Economic Surveys, 2014, 917-942 p

International audience; 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 constantly in scientific journals as well as

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7defa8d55a50b5abe252a4d2ee7bb319
https://hal.univ-reunion.fr/hal-01243416