Kappa Performance Measures with Johnson Distributions

In this paper, we analyze the Kappa performance measures of portfolio returns having Johnson distributions. Kappa performance measures are based on downside risk measures, which better allows evaluating risk and performance of complex returns such as those of hedge funds. These measures take account of the whole return distribution. We illustrate how they evolve according to the four basic parameters of the Johnson distributions.

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Year of publication:	2014-08-29
Authors:	Naguez, Naceur ; Prigent, Jean-Luc
Institutions:	Institut de Préparation à l'Administration et à la Gestion (IPAG)
Subject:	Portfolio performance \| Hedge funds \| Downside risk measures \| Kappa performance measures \| Johnson distributions

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014-510 14 pages
Classification:	D03 - Behavioral Economics; Underlying Principles ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010891124