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Analyse théorique
Chauveau, Thierry - 1997
Persistent link: https://www.econbiz.de/10000962620
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Portfolio Performance Measure and a New Generalized Utility-Based N-Moment Measure
Billio, Monica - 2013
Most of the performance measures proposed in the financial and academic literature are subject to be gamed in an active management framework (Goetzmann et al., 2007). One of the main reasons of this drawback is due to an incomplete characterization by these measures of studied return...
Persistent link: https://www.econbiz.de/10013073128
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Hedge fund portfolio selection with higher-order moments : a nonparametric mean-variance-skewness-kurtosis efficient frontier
Jurczenko, Emmanuel; Maillet, Bertrand; Merlin, Paul - In: Multi-moment asset allocation and pricing models, (pp. 51-66). 2006
Persistent link: https://www.econbiz.de/10003477397
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A survey on the four families of performance measures
Caporin, Massimiliano; Jannin, Grégory M.; Lisi, Francesco - In: Journal of economic surveys 28 (2014) 5, pp. 917-942
Persistent link: https://www.econbiz.de/10011293755
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Portfolio performance measure and a new generalized utility-based N-moment measure
Billio, Monica; Jannin, Gregory; Maillet, Bertrand; … - 2013
Persistent link: https://www.econbiz.de/10011629370
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D' un indice de détection d’anomalies à l'usage des investisseurs
Bernard, Philippe; Mekkaoui-de Freitas, Najat el-; … - In: Revue économique : revue bimestrielle 67 (2016) 5, pp. 1037-1056
Persistent link: https://www.econbiz.de/10011553202
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A financial fraud detection indicator for investors : an IDeA
Bernard, Philippe; Mekkaoui-de Freitas, Najat el-; … - In: Risk management decisions and value under uncertainty, (pp. 809-832). 2022
Persistent link: https://www.econbiz.de/10013342053
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A meta-measure of performance related to both investors and investments characteristics
Billio, Monica; Maillet, Bertrand; Pelizzon, Loriana - In: Risk management decisions and value under uncertainty, (pp. 1405-1447). 2022
Persistent link: https://www.econbiz.de/10013342131