HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Journal articles

A meta-measure of performance related to both investors and investments characteristics

Abstract : 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.
Document type :
Journal articles
Complete list of metadata

https://hal.univ-reunion.fr/hal-03543398
Contributor : Réunion Univ Connect in order to contact the contributor
Submitted on : Wednesday, January 26, 2022 - 8:12:11 AM
Last modification on : Thursday, March 31, 2022 - 5:58:02 PM

Identifiers

Collections

Citation

Monica Billio, Bertrand Maillet, Loriana Pelizzon. A meta-measure of performance related to both investors and investments characteristics. Annals of Operations Research, Springer Verlag, 2021, ⟨10.1007/s10479-020-03771-w⟩. ⟨hal-03543398⟩

Share

Metrics

Record views

6