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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

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

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

On the (ab)use of Omega?

Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - 2015

Persistent link: https://www.econbiz.de/10011632567

"On the (Ab)use of Omega?"

Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - In: Journal of empirical finance 46 (2018), pp. 11-33

Persistent link: https://www.econbiz.de/10012103452

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

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

Omega compatibility : a meta-analysis

Bernard, Carole; Caporin, Massimiliano; Maillet, Bertrand; … - In: Computational economics 62 (2023) 2, pp. 493-526

Persistent link: https://www.econbiz.de/10014382729