This paper introduces a new fund performance measure, called the L-performance. It is proposed as an alternative to the Sharpe performance measure that is commonly used for fund performance valuation despite its inability to account for skewness and thick tails of fund return distributions. The...

This paper presents a simple and efficient exogenous outlier detection & estimation algorithm introduced in a regularized version of the Kalman Filter (KF). Exogenous outliers that may occur in the observations are considered as an additional stochastic impulse process in the KF observation...

A characteristic of hedge funds is not only an active portfolio management, but also the allocation of portfolio performance between different accounts, which are the accounts for the external investors, an account for the management firm and a provision account. Despite a lack of transparency...