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Article Dans Une Revue Annals of Operations Research Année : 2021

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

Résumé

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.
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Dates et versions

hal-03543398 , version 1 (26-01-2022)

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