A meta-measure of performance related to both investors and investments characteristics
| Autor: | Bertrand Maillet, Loriana Pelizzon, Monica Billio |
|---|---|
| Přispěvatelé: | University of Ca’ Foscari [Venice, Italy], emlyon business school, Centre d'Économie et de Management de l'Océan Indien (CEMOI), Université de La Réunion (UR), Goethe-University Frankfurt am Main |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Return distribution
Measure (data warehouse) Index (economics) business.industry Higher-moments Hedge funds Performance measurement Statistical expansion General Decision Sciences Management Science and Operations Research Settore SECS-P/02 - Politica Economica [SHS.ECO]Humanities and Social Sciences/Economics and Finance Hedge fund Econometrics Portfolio Set (psychology) business |
| Zdroj: | Annals of Operations Research Annals of Operations Research, Springer Verlag, 2021, ⟨10.1007/s10479-020-03771-w⟩ |
| ISSN: | 0254-5330 1572-9338 |
| DOI: | 10.1007/s10479-020-03771-w⟩ |
| Popis: | International audience; We introduce hereafter a new flexible meta-measurement of portfolio performance, called the Generalized Utility-based N-moment measure, relying both on a characterization of the whole return distribution and on the set of preferences of the investor, which is adapted to analyze the performance of hedge funds. It could also serve as the basis of a Fraudulent Behavior Index aiming to detect fraudulent funds. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full text from SpringerLink