In this paper, we conducted a comparative study of ten measures documented as the most used by researchers and practionners: Sharpe, Sortino, Calmar, Sterling, Burke, modified Stutzer, modified Sharpe, upside potential ratio, Omega and AIRAP. This study was carried out in two stages on a sample...

This paper aims to analyze hedge fund index behavior over the 9-year period ranging from January 1994 to December 2002 with help of various statistical measures. The results indicate that hedge fund returns are not normally distributed and exhibit first order autocorrelation, a phenomenon known...

We study two principal mechanisms suggested in the literature to correct the serial correlationin hedge fund returns and the impact of this correction on financial characteristics of their returnsas well as on their risk level and on their performances. The methods of Geltner (1993), its...

This paper aims to show that Data Envelopment Analysis (DEA) is an efficient tool to assist investors in multiple criteria decision-making tasks like assessing hedge fund performance. DEA has the merit of offering investors the possibility to consider simultaneously multiple evaluation criteria...

The paper analyses effort and risk-taking behavior of fund managers in a tournament framework where they can choose not only the risk level but can also adjust their effort to achieve the highest relative performance and win the competition. The results show that when effort is costly, the...

In order to explore scientific writing in Information Systems (IS) journals, we adopt a combination of historical and rhetorical approaches. We first investigate the history of universities, business schools, learned societies and scientific articles. This perspective allows us to capture the...

This article analyzes the different phases the Information Systems--Sociology relationship has gone through and points out some specific features of sociologists and Information Systems scientists in their conceptualization of Information Technology (IT). It shows that both academic fields...

In the framework of endogenous growth of Acemoglu & Aghion in "The environment and directed technical change", the paper aims at creating endogenous labor market and analyzing its effects on the environment and on the growth in the competitive equilibrium and the optimal policy. A final output...

Social responsible investment is surging in all industrial countries, despite the conventional wisdom that the inclusion of extra-financial criteria in the stock selection process should arm the financial performance of these funds. As a consequence, many papers have attempted to measure the...

In two recent contributions, Herbert Gintis introduces agent-based imitation models built upon evolutionary bargaining games where agents use private prices as strategies. He reports surprising convergence results for simulations performed in exchange economies where goods are strict complement....