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A meta-measure of performance related to both investors and investments characteristics
Journal article   Peer reviewed

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

Monica Billio, Bertrand Maillet and Loriana Pelizzon
Annals of Operations Research, pp.1405-1447
01/06/2022

Abstract

Performance measure Higher Moments Utility Framework
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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ANOR-D-20-00408_R1_DOI
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Collaboration types
Domestic collaboration
International collaboration
Citation topics
6 Social Sciences
6.10 Economics
6.10.80 Market Interdependencies
Web of Science research areas
Operations Research & Management Science
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